Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models

DOI10.1016/J.JECONOM.2016.06.001zbMATH Open1443.62208OpenAlexW2471863548MaRDI QIDQ311643FDOQ311643

Anders Bredahl Kock

Publication date: 13 September 2016

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

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:cfb7a7fa-61b3-4fb0-96e8-fad7e826dd0e

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zbMATH Keywords

Lassovariable selectionpanel datahigh-dimensional modelsoracle inequalitycorrelated random effectsMundlak-Chamberlainsup-norm boundsuniform inferenceweak sparsity

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Title not available (Why is that?)
• Statistics for high-dimensional data. Methods, theory and applications.
• Multivariate regression models for panel data
• Simultaneous analysis of Lasso and Dantzig selector
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• High-dimensional graphs and variable selection with the Lasso
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• Sure Independence Screening for Ultrahigh Dimensional Feature Space
• Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models
• A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers
• On asymptotically optimal confidence regions and tests for high-dimensional models
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• On the Pooling of Time Series and Cross Section Data
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Quantile regression for longitudinal data
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• Tuning Parameter Selection in High Dimensional Penalized Likelihood
• Robust penalized quantile regression estimation for panel data
• Penalized quantile regression for dynamic panel data
• Analysis of Panel Data
• Panel Data Econometrics
• Strong oracle optimality of folded concave penalized estimation
• Panel data methods for fractional response variables with an application to test pass rates
• Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
• Invertibility conditions for block matrices and estimates for norms of inverse matrices
• Are Economists More Likely to Hold Stocks?*
• ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso

Cited In (9)

• Detecting homogenous predictors in high-dimensional panel model with an MCMC algorithm
• Generalized linear models with structured sparsity estimators
• Wild bootstrap inference for penalized quantile regression for longitudinal data
• Variable selection in heterogeneous panel data models with cross‐sectional dependence
• Inference on heterogeneous treatment effects in high‐dimensional dynamic panels under weak dependence
• Multiway Cluster Robust Double/Debiased Machine Learning
• Machine learning panel data regressions with heavy-tailed dependent data: theory and application
• POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA
• UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS

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