Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models (Q311643): Difference between revisions

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scientific article

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English	Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models	scientific article

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instance of

scholarly article

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title

Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models (English)

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author

Anders Bredahl Kock

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published in

Journal of Econometrics

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publication date

13 September 2016

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full work available at URL

https://ora.ox.ac.uk/objects/uuid:cfb7a7fa-61b3-4fb0-96e8-fad7e826dd0e

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zbMATH Keywords

panel data

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Lasso

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oracle inequality

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sup-norm bounds

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high-dimensional models

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weak sparsity

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correlated random effects

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Mundlak-Chamberlain

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variable selection

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uniform inference

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MaRDI profile type

MaRDI publication profile

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cites work

Panel Data Econometrics

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Simultaneous analysis of Lasso and Dantzig selector

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Statistics for high-dimensional data. Methods, theory and applications.

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The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).

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Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso

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Multivariate regression models for panel data

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Q3709749

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Are Economists More Likely to Hold Stocks?*

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Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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Sure Independence Screening for Ultrahigh Dimensional Feature Space

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Strong oracle optimality of folded concave penalized estimation

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Tuning Parameter Selection in High Dimensional Penalized Likelihood

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Penalized quantile regression for dynamic panel data

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Invertibility conditions for block matrices and estimates for norms of inverse matrices

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Analysis of Panel Data

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ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS

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Quantile regression for longitudinal data

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Robust penalized quantile regression estimation for panel data

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MODEL SELECTION AND INFERENCE: FACTS AND FICTION

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High-dimensional graphs and variable selection with the Lasso

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On the Pooling of Time Series and Cross Section Data

0 references

A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers

0 references

Panel data methods for fractional response variables with an application to test pass rates

0 references

Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso

0 references

Q4864293

0 references

On asymptotically optimal confidence regions and tests for high-dimensional models

0 references

Q2995585

0 references

Q2995584

0 references

Q2896144

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Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models

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Q3174050

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Identifiers

zbMATH Open document ID

1443.62208

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DOI

10.1016/j.jeconom.2016.06.001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:311643

@@ Property / cites work @@
+Panel Data Econometrics
@@ Property / cites work: Panel Data Econometrics / rank @@
+Normal rank
@@ Property / cites work @@
+Simultaneous analysis of Lasso and Dantzig selector
+Normal rank
@@ Property / cites work @@
+Statistics for high-dimensional data. Methods, theory and applications.
+Normal rank
@@ Property / cites work @@
+The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
+Normal rank
@@ Property / cites work @@
+Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
+Normal rank
@@ Property / cites work @@
+Multivariate regression models for panel data
@@ Property / cites work: Multivariate regression models for panel data / rank @@
+Normal rank
@@ Property / cites work @@
+Q3709749
@@ Property / cites work: Q3709749 / rank @@
+Normal rank
@@ Property / cites work @@
+Are Economists More Likely to Hold Stocks?*
@@ Property / cites work: Are Economists More Likely to Hold Stocks?* / rank @@
+Normal rank
@@ Property / cites work @@
+Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
+Normal rank
@@ Property / cites work @@
+Sure Independence Screening for Ultrahigh Dimensional Feature Space
+Normal rank
@@ Property / cites work @@
+Strong oracle optimality of folded concave penalized estimation
+Normal rank
@@ Property / cites work @@
+Tuning Parameter Selection in High Dimensional Penalized Likelihood
+Normal rank
@@ Property / cites work @@
+Penalized quantile regression for dynamic panel data
+Normal rank
@@ Property / cites work @@
+Invertibility conditions for block matrices and estimates for norms of inverse matrices
+Normal rank
@@ Property / cites work @@
+Analysis of Panel Data
@@ Property / cites work: Analysis of Panel Data / rank @@
+Normal rank
@@ Property / cites work @@
+ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS
+Normal rank
@@ Property / cites work @@
+Quantile regression for longitudinal data
@@ Property / cites work: Quantile regression for longitudinal data / rank @@
+Normal rank
@@ Property / cites work @@
+Robust penalized quantile regression estimation for panel data
+Normal rank
@@ Property / cites work @@
+MODEL SELECTION AND INFERENCE: FACTS AND FICTION
@@ Property / cites work: MODEL SELECTION AND INFERENCE: FACTS AND FICTION / rank @@
+Normal rank
@@ Property / cites work @@
+High-dimensional graphs and variable selection with the Lasso
+Normal rank
@@ Property / cites work @@
+On the Pooling of Time Series and Cross Section Data
+Normal rank
@@ Property / cites work @@
+A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers
+Normal rank
@@ Property / cites work @@
+Panel data methods for fractional response variables with an application to test pass rates
+Normal rank
@@ Property / cites work @@
+Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
+Normal rank
@@ Property / cites work @@
+Q4864293
@@ Property / cites work: Q4864293 / rank @@
+Normal rank
@@ Property / cites work @@
+On asymptotically optimal confidence regions and tests for high-dimensional models
+Normal rank
@@ Property / cites work @@
+Q2995585
@@ Property / cites work: Q2995585 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2995584
@@ Property / cites work: Q2995584 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2896144
@@ Property / cites work: Q2896144 / rank @@
+Normal rank
@@ Property / cites work @@
+Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models
+Normal rank
@@ Property / cites work @@
+Q3174050
@@ Property / cites work: Q3174050 / rank @@
+Normal rank