Lasso-Type Gmm Estimator
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Cited by:
- Lu, Xun & Su, Liangjun, 2016.
"Shrinkage estimation of dynamic panel data models with interactive fixed effects,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
- Xun Lu & Su Liangjun, 2015. "Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects," Working Papers 02-2015, Singapore Management University, School of Economics.
- Ning Xu & Jian Hong & Timothy C. G. Fisher, 2016.
"Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso,"
Papers
1606.00142, arXiv.org.
- Xu, Ning & Hong, Jian & Fisher, Timothy, 2016. "Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso," MPRA Paper 71670, University Library of Munich, Germany.
- Hansen, Christian & Kozbur, Damian, 2014. "Instrumental variables estimation with many weak instruments using regularized JIVE," Journal of Econometrics, Elsevier, vol. 182(2), pages 290-308.
- Aman Ullah & Huansha Wang, 2013. "Parametric and Nonparametric Frequentist Model Selection and Model Averaging," Econometrics, MDPI, Open Access Journal, vol. 1(2), pages 1-23, September.
- Fan, Jianqing & Liao, Yuan, 2012. "Endogeneity in ultrahigh dimension," MPRA Paper 38698, University Library of Munich, Germany.
- Stefano Maria IACUS & Alessandro DE GREGORIO, 2010. "Adaptive LASSO-type estimation for ergodic diffusion processes," Departmental Working Papers 2010-13, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Achim Ahrens & Arnab Bhattacharjee, 2015. "Two-Step Lasso Estimation of the Spatial Weights Matrix," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 1-28, March.
- Zhu, Ying, 2018. "Sparse linear models and l1-regularized 2SLS with high-dimensional endogenous regressors and instruments," Journal of Econometrics, Elsevier, vol. 202(2), pages 196-213.
- Inoue, Atsushi & Rossi, Barbara, 2011.
"Testing for weak identification in possibly nonlinear models,"
Journal of Econometrics, Elsevier, vol. 161(2), pages 246-261, April.
- Barbara Rossi & Atsushi Inoue, 2010. "Testing for Weak Identification in Possibly Nonlinear Models," Working Papers 10-92, Duke University, Department of Economics.
- DiTraglia, Francis J., 2016.
"Using invalid instruments on purpose: Focused moment selection and averaging for GMM,"
Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
- Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM," PIER Working Paper Archive 14-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Aug 2014.
- Qian, Junhui & Su, Liangjun, 2016. "Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso," Journal of Econometrics, Elsevier, vol. 191(1), pages 86-109.
- Caner, Mehmet & Fan, Qingliang, 2015. "Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso," Journal of Econometrics, Elsevier, vol. 187(1), pages 256-274.
- Savin Ivan, 2013.
"A Comparative Study of the Lasso-type and Heuristic Model Selection Methods,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(4), pages 526-549, August.
- Ivan Savin, 2010. "A comparative study of the Lasso-type and heuristic model selection methods," Working Papers 042, COMISEF.
- Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
- Ning Xu & Jian Hong & Timothy C. G. Fisher, 2016.
"Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression,"
Papers
1609.03344, arXiv.org, revised Sep 2016.
- Xu, Ning & Hong, Jian & Fisher, Timothy, 2016. "Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression," MPRA Paper 73622, University Library of Munich, Germany.
- Yoonseok Lee & Mehmet Caner & Xu Han, 2015. "Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection," Center for Policy Research Working Papers 177, Center for Policy Research, Maxwell School, Syracuse University.
- Eric Gautier & Alexandre Tsybakov, 2011.
"High-Dimensional Instrumental Variables Regression and Confidence Sets,"
Working Papers
2011-13, Center for Research in Economics and Statistics.
- Gautier, Eric & Rose, Christiern & Tsybakov, Alexandre, 2018. "High-dimensional instrumental variables regression and confidence sets," TSE Working Papers 18-930, Toulouse School of Economics (TSE), revised Nov 2019.
- Eric Gautier & Christiern Rose, 2018. "High-dimensional instrumental variables regression and confidence sets," Working Papers hal-00591732, HAL.
- Zhu, Ying, 2015. "Sparse Linear Models and l1−Regularized 2SLS with High-Dimensional Endogenous Regressors and Instruments," MPRA Paper 81217, University Library of Munich, Germany.
- Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.
- Zhu, Ying, 2013. "Sparse Linear Models and Two-Stage Estimation in High-Dimensional Settings with Possibly Many Endogenous Regressors," MPRA Paper 49846, University Library of Munich, Germany.
- Caner, Mehmet & Yıldız, Neşe, 2012. "CUE with many weak instruments and nearly singular design," Journal of Econometrics, Elsevier, vol. 170(2), pages 422-441.
- Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Ando, Tomohiro & Sueishi, Naoya, 2019. "Regularization parameter selection for penalized empirical likelihood estimator," Economics Letters, Elsevier, vol. 178(C), pages 1-4.
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