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Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator

Author

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  • Liqian Cai

    (Michigan State University)

  • Arnab Bhattacharjee

    (Heriot-Watt University)

  • Roger Calantone

    (Michigan State University)

  • Taps Maiti

    (Michigan State University)

Abstract

We propose generalized moments LASSO estimator, combining LASSO with GMM, for penalized variable selection and estimation under the spatial error model with spatially autoregressive errors. We establish parameter consistency and selection sign consistency of the proposed estimator in the low dimensional setting when the parameter dimension p

Suggested Citation

  • Liqian Cai & Arnab Bhattacharjee & Roger Calantone & Taps Maiti, 2019. "Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 146-200, September.
    • Handle: RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-018-0176-z
    DOI: 10.1007/s13571-018-0176-z
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    Cited by:

    1. Liqian Cai & Tapabrata Maiti, 2020. "Variable selection and estimation for high‐dimensional spatial autoregressive models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(2), pages 587-607, June.
    2. Arnab Bhattacharjee & Tapabrata Maiti, 2019. "P. C. Mahalanobis in the Context of Current Econometrics Research," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 1-11, September.

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