Constrained estimation using penalization and MCMC

DOI10.1016/J.JECONOM.2021.02.004OpenAlexW3158055354MaRDI QIDQ2116360FDOQ2116360

A. Ronald Gallant, Michael P. Leung, Han Hong, 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)

Cites Work

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Cited In (2)

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

Uses Software

• nlmdl

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