Select the valid and relevant moments: an information-based Lasso for GMM with many moments (Q494181)
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scientific article; zbMATH DE number 6477037
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| English | Select the valid and relevant moments: an information-based Lasso for GMM with many moments |
scientific article; zbMATH DE number 6477037 |
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Select the valid and relevant moments: an information-based Lasso for GMM with many moments (English)
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31 August 2015
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adaptive penalty
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GMM
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many moments
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moment selection
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oracle properties
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shrinkage estimation
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0.8463190793991089
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0.8295748829841614
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0.8274396657943726
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0.8226688504219055
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0.807494044303894
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