LASSO-TYPE GMM ESTIMATOR
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Cites work
- A Statistical View of Some Chemometrics Regression Tools
- Asymptotics for Lasso-type estimators.
- Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
- Discontinuities of weak instrument limiting distributions.
- GMM with Weak Identification
- Heuristics of instability and stabilization in model selection
- Ideal spatial adaptation by wavelet shrinkage
- Instrumental Variable Estimation of Nonparametric Models
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
- PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
- Testing Parameters in GMM Without Assuming that They Are Identified
- Variable selection for Cox's proportional hazards model and frailty model
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Weak convergence and empirical processes. With applications to statistics
Cited in
(52)- Linear instrumental variables model averaging estimation
- Sparse linear models and \(l_1\)-regularized 2SLS with high-dimensional endogenous regressors and instruments
- The optimal selection for restricted linear models with average estimator
- Regularization parameter selection for penalized empirical likelihood estimator
- On penalized estimation for dynamical systems with small noise
- Variable selection for structural equation with endogeneity
- Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution
- The empirical saddlepoint estimator
- On LASSO for predictive regression
- Inference in partially identified models with many moment inequalities using Lasso
- Higher order mean squared error of generalized method of moments estimators for nonlinear models
- Endogeneity in high dimensions
- Instrumental variables estimation with many weak instruments using regularized JIVE
- CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type
- High dimensional semiparametric moment restriction models
- Adaptive LASSO-type estimation for multivariate diffusion processes
- Penalized MM regression estimation with L_ penalty: a robust version of bridge regression
- Nearly-singular design in GMM and generalized empirical likelihood estimators
- Shrinkage estimation of regression models with multiple structural changes
- Econometric estimation with high-dimensional moment equalities
- Lasso Regression Based on Empirical Mode Decomposition
- GMM estimation in partial linear models with endogenous covariates causing an over-identified problem
- Using invalid instruments on purpose: focused moment selection and averaging for GMM
- Testing, Estimation in GMM and CUE with Nearly-Weak Identification
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
- Unit root test for short panels with serially correlated errors
- Adaptive GMM shrinkage estimation with consistent moment selection
- Survey-Based Forecasting: To Average or Not to Average
- Stock return predictability: a factor-augmented predictive regression system with shrinkage method
- Conditional sparse boosting for high-dimensional instrumental variable estimation
- Oracle GMM estimation for misspecified models via thresholding
- Adaptive k-class estimation in high-dimensional linear models
- Adaptive Lasso for vector multiplicative error models
- CUE with many weak instruments and nearly singular design
- Testing for weak identification in possibly nonlinear models
- Bootstrap inference for penalized GMM estimators with oracle properties
- Moment and IV selection approaches: a comparative simulation study
- Estimation of Sparse Structural Parameters with Many Endogenous Variables
- Integrating Multisource Block-Wise Missing Data in Model Selection
- Over-identified doubly robust identification and estimation
- Identification of a Triangular Two Equation System Without Instruments
- A GMM approach in coupling internal data and external summary information with heterogeneous data populations
- Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
- Instrumental variable model average with applications in Mendelian randomization
- Fitting additive risk models using auxiliary information
- Fused mean structure learning in data integration with dependence
- Focused estimation and model averaging with penalization methods: an overview
- The usage of bridge estimator to determine the order of integration for possibly integrated series as an alternative to Dickey–Pantula unit root test
- Instrumental variable model average with applications in nonlinear causal inference
- Shrinkage estimation of dynamic panel data models with interactive fixed effects
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
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