Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator

DOI10.1007/S13571-018-0176-ZzbMATH Open1437.62273OpenAlexW2900065219MaRDI QIDQ2297950FDOQ2297950

Authors: Liqian Cai, Arnab Bhattacharjee, Roger Calantone, Taps Maiti 

Publication date: 20 February 2020

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-018-0176-z

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zbMATH Keywords

LassoGMMhedonic house price modelsspatial autoregressive errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Forecasting Using Principal Components From a Large Number of Predictors
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• Statistics for high-dimensional data. Methods, theory and applications.
• QML estimation of dynamic panel data models with spatial errors
• Simultaneous analysis of Lasso and Dantzig selector
• High-dimensional graphs and variable selection with the Lasso
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• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• ON STATIONARY PROCESSES IN THE PLANE
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• Estimation of spatial autoregressive panel data models with fixed effects
• Asymptotics for Lasso-type estimators.
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• Sparse models and methods for optimal instruments with an application to eminent domain
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• Spike and slab variable selection: frequentist and Bayesian strategies
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• On the adaptive elastic net with a diverging number of parameters
• Infinite-dimensional VARs and factor models
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• Sup-norm convergence rate and sign concentration property of Lasso and Dantzig estimators
• A multi-country approach to forecasting output growth using PMIs
• Nonparametric methods for inference in the presence of instrumental variables
• Automatic selection of indicators in a fully saturated regression
• Additive Model Building for Spatial Regression
• Model selection in under-specified equations facing breaks
• Spatial regression and estimation of disease risks: A clustering‐based approach

Cited In (8)

• Robust variable selection with exponential squared loss for the spatial autoregressive model
• Variable selection and estimation for high-dimensional spatial autoregressive models
• Automatic variable selection for semiparametric spatial autoregressive model
• Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model
• Variable selection for spatial autoregressive models with a diverging number of parameters
• Variable selection in STAR models with neighbourhood effects using genetic algorithms
• P. C. Mahalanobis in the context of current econometrics research
• Variable selection of the spatial autoregressive quantile model with fixed effects

Uses Software

• glmnet

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