Constrained estimation using penalization and MCMC

DOI10.1016/J.JECONOM.2021.02.004MaRDI QIDQ2116360zbMATH OpenOpenAlexFDO

Authors A. Ronald Gallant, Han Hong, Michael P. Leung, Jessie Li

Publication date 16 March 2022

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.02.004

zbMATH Keywords

MCMCBayesian Lassopenalized estimationLaplace-type estimators

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(2)

• A flexible sequential Monte Carlo algorithm for parametric constrained regression
• MCMC algorithms for constrained variance matrices

Describes a project that uses

Uses Software

• nlmdl

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