Testing a single regression coefficient in high dimensional linear models

DOI10.1016/j.jeconom.2016.05.016zbMath1443.62198MaRDI QIDQ311657

Wei Lan, Ping-Shou Zhong, Hansheng Wang, Chih-Ling Tsai, Run-Ze Li

Publication date: 13 September 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.016

zbMATH Keywords

false discovery rate; high dimensional data; correlated predictors screening; single coefficient test

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

62H15: Hypothesis testing in multivariate analysis

62J15: Paired and multiple comparisons; multiple testing

Uses Software

• pcalg