Endogeneity in high dimensions (Q2510821)

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Language	Label	Description	Also known as
English	Endogeneity in high dimensions	scientific article

Statements

scholarly article

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Endogeneity in high dimensions (English)

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The Annals of Statistics

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publication date

4 August 2014

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full work available at URL

https://arxiv.org/abs/1204.5536

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https://projecteuclid.org/euclid.aos/1400592646

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zbMATH Keywords

focused GMM

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sparsity recovery

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endogenous variables

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oracle property

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conditional moment restriction

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estimating equation

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over identification

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global minimization

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semiparametric efficiency

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MaRDI profile type

MaRDI publication profile

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Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions

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Consistent Moment Selection Procedures for Generalized Method of Moments Estimation

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Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models

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Least squares after model selection in high-dimensional sparse models

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Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain

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Simultaneous analysis of Lasso and Dantzig selector

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Consistent High-Dimensional Bayesian Variable Selection via Penalized Credible Regions

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Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection

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Variable selection in high-dimensional linear models: partially faithful distributions and the PC-simple algorithm

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

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On the Testability of Identification in Some Nonparametric Models With Endogeneity

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

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LASSO-TYPE GMM ESTIMATOR

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Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso

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Asymptotic efficiency in estimation with conditional moment restrictions

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Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals

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An MCMC approach to classical estimation.

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An iterative thresholding algorithm for linear inverse problems with a sparsity constraint

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Consistent Estimation of Models Defined by Conditional Moment Restrictions

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Choosing instrumental variables in conditional moment restriction models

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Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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Nonconcave Penalized Likelihood With NP-Dimensionality

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Efficient estimation of conditional variance functions in stochastic regression

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Nonparametric methods for inference in the presence of instrumental variables

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Large Sample Properties of Generalized Method of Moments Estimators

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A Smoothed Maximum Score Estimator for the Binary Response Model

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Asymptotic properties of bridge estimators in sparse high-dimensional regression models

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Variable selection using MM algorithms

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Smoothly Clipped Absolute Deviation on High Dimensions

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Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

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Sparse estimators and the oracle property, or the return of Hodges' estimator

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ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION

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Regularized M-estimators with nonconvexity: Statistical and algorithmic theory for local optima

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A unified approach to model selection and sparse recovery using regularized least squares

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Semiparametric efficiency bounds

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Instrumental Variable Estimation of Nonparametric Models

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A simplified approach to computing efficiency bounds in semiparametric models

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\(\ell_{1}\)-penalization for mixture regression models

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High-dimensional generalized linear models and the lasso

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High-dimensional variable selection

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Nearly unbiased variable selection under minimax concave penalty

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The sparsity and bias of the LASSO selection in high-dimensional linear regression

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A general theory of concave regularization for high-dimensional sparse estimation problems

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The Adaptive Lasso and Its Oracle Properties

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One-step sparse estimates in nonconcave penalized likelihood models

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On the adaptive elastic net with a diverging number of parameters

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Identifiers

zbMATH Open document ID

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10.1214/13-AOS1202

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2510821

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