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Catching Growth Determinants with the Adaptive Lasso

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Author Info

  • Ulrike Schneider
  • Martin Wagner

Abstract

This paper uses the adaptive Lasso estimator to determine the variables important for economic growth. The adaptive Lasso estimator is a computationally very simple procedure that can perform at the same time model selection and consistent parameter estimation. The methodology is applied to three data sets, the data used in Sala-i-Martin et al. (2004), in Fernandez et al. (2001) and a data set for the regions in the European Union. The results for the former two data sets are similar in several respects to those found in the published papers, yet are obtained at a negligible fraction of computational cost. Furthermore, the results for the European regional data highlight the importance of human capital for economic growth.

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Paper provided by The Vienna Institute for International Economic Studies, wiiw in its series wiiw Working Papers with number 55.

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Length: 34 pages including 8 Tables and 6 Figures
Date of creation: Jun 2009
Date of revision:
Publication status: Published as wiiw Working Paper, June 2009
Handle: RePEc:wii:wpaper:55

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Keywords: adaptive Lasso; economic convergence; growth regressions; model selection;

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References

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  1. Wagner, Martin & Hlouskova, Jaroslava, 2009. "Growth Regressions, Principal Components and Frequentist Model Averaging," Economics Series 236, Institute for Advanced Studies.
  2. Durlauf, Steven N. & Johnson, Paul A. & Temple, Jonathan R.W., 2005. "Growth Econometrics," Handbook of Economic Growth, in: Philippe Aghion & Steven Durlauf (ed.), Handbook of Economic Growth, edition 1, volume 1, chapter 8, pages 555-677 Elsevier.
  3. Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
  4. Carmen Fernandez & Eduardo Ley & Mark Steel, 1999. "Model uncertainty in cross-country growth regressions," Econometrics 9903003, EconWPA, revised 06 Oct 2001.
  5. Hoover, Kevin, 2000. "Truth and Robustness in Cross-Country Growth Regression," Working Papers 01-1, University of California at Davis, Department of Economics.
  6. Gernot Doppelhofer & Ronald I. Miller & Xavier Sala-i-Martin, 2000. "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (Bace) Approach," OECD Economics Department Working Papers 266, OECD Publishing.
  7. Pötscher, Benedikt M. & Schneider, Ulrike, 2007. "On the distribution of the adaptive LASSO estimator," MPRA Paper 6913, University Library of Munich, Germany, revised Dec 2008.
  8. Leamer, Edward E, 1985. "Sensitivity Analyses Would Help," American Economic Review, American Economic Association, vol. 75(3), pages 308-13, June.
  9. Leeb, Hannes & Potscher, Benedikt M., 2008. "Sparse estimators and the oracle property, or the return of Hodges' estimator," Journal of Econometrics, Elsevier, vol. 142(1), pages 201-211, January.
  10. Wang, Hansheng & Leng, Chenlei, 2007. "Unified LASSO Estimation by Least Squares Approximation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1039-1048, September.
  11. Hui Zou & Trevor Hastie, 2005. "Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(2), pages 301-320.
  12. Baumol, William J, 1986. "Productivity Growth, Convergence, and Welfare: What the Long-run Data Show," American Economic Review, American Economic Association, vol. 76(5), pages 1072-85, December.
  13. David F. Hendry & Hans-Martin Krolzig, 2004. "We Ran One Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 799-810, December.
  14. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
  15. Mankiw, N Gregory & Romer, David & Weil, David N, 1992. "A Contribution to the Empirics of Economic Growth," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 407-37, May.
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Citations

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Cited by:
  1. Marco Buchmann, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series 1286, European Central Bank.
  2. Wagner, Martin & Hlouskova, Jaroslava, 2009. "Growth Regressions, Principal Components and Frequentist Model Averaging," Economics Series 236, Institute for Advanced Studies.
  3. Robert Stehrer & Neil Foster & Jesus Crespo-Cuaresma, 2009. "The Determinants of Regional Economic Growth by Quantile," wiiw Working Papers 54, The Vienna Institute for International Economic Studies, wiiw.

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