Instrument selection for estimation of a forward-looking Phillips curve
From MaRDI portal
Publication:1670180
DOI10.1016/j.econlet.2016.05.032zbMath1400.62313MaRDI QIDQ1670180
Marcelo J. Sena, Tiago Berriel, Marcelo C. Medeiros
Publication date: 5 September 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2016.05.032
62P20: Applications of statistics to economics
62J07: Ridge regression; shrinkage estimators (Lasso)
Cites Work
- The Adaptive Lasso and Its Oracle Properties
- Regularized LIML for many instruments
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Selecting Instrumental Variables in a Data Rich Environment
- Model Selection and Estimation in Regression with Grouped Variables