Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model

DOI10.1016/J.JECONOM.2018.06.005MaRDI QIDQ1792447zbMATH OpenOpenAlexWikidataFDO

Authors Fei Jin, Lung-fei Lee

Publication date 12 October 2018

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2018.06.005

zbMATH Keywords

Lassooracle propertiessingular covariance matrixunknown heteroskedasticitynonlinear two-stage least squaresirregular estimates and test statisticsmatrix exponential spatial specification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
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Cited in

(3)

• Editorial: Advance in theoretical econometrics -- essays in honor of Takeshi Amemiya
• A matrix exponential spatial specification
• GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors

Describes a project that uses

Uses Software

• SLEP

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