LASSO-TYPE GMM ESTIMATOR

DOI10.1017/S0266466608090099zbMath1231.62028MaRDI QIDQ3551023

Mehmet Caner

Publication date: 8 April 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Related Items (42)

Integrating Multisource Block-Wise Missing Data in Model Selection ⋮ Stock return predictability: A factor-augmented predictive regression system with shrinkage method ⋮ Linear instrumental variables model averaging estimation ⋮ Conditional sparse boosting for high-dimensional instrumental variable estimation ⋮ Nearly-singular design in GMM and generalized empirical likelihood estimators ⋮ Econometric estimation with high-dimensional moment equalities ⋮ CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type ⋮ GMM estimation in partial linear models with endogenous covariates causing an over-identified problem ⋮ ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES ⋮ The empirical saddlepoint estimator ⋮ On LASSO for predictive regression ⋮ Using invalid instruments on purpose: focused moment selection and averaging for GMM ⋮ Sparse linear models and \(l_1\)-regularized 2SLS with high-dimensional endogenous regressors and instruments ⋮ Oracle GMM estimation for misspecified models via thresholding ⋮ Adaptive k-class estimation in high-dimensional linear models ⋮ Penalized MM regression estimation withL_γpenalty: a robust version of bridge regression ⋮ Shrinkage estimation of dynamic panel data models with interactive fixed effects ⋮ High dimensional semiparametric moment restriction models ⋮ Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso ⋮ Over-identified doubly robust identification and estimation ⋮ Identification of a Triangular Two Equation System Without Instruments ⋮ Adaptive Lasso for vector Multiplicative Error Models ⋮ SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES ⋮ The optimal selection for restricted linear models with average estimator ⋮ Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso ⋮ Regularization parameter selection for penalized empirical likelihood estimator ⋮ Testing, Estimation in GMM and CUE with Nearly-Weak Identification ⋮ On penalized estimation for dynamical systems with small noise ⋮ CUE with many weak instruments and nearly singular design ⋮ Testing for weak identification in possibly nonlinear models ⋮ Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution ⋮ Endogeneity in high dimensions ⋮ Instrumental variables estimation with many weak instruments using regularized JIVE ⋮ Variable selection for structural equation with endogeneity ⋮ Inference in partially identified models with many moment inequalities using Lasso ⋮ Unit root test for short panels with serially correlated errors ⋮ ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION ⋮ Higher order mean squared error of generalized method of moments estimators for nonlinear models ⋮ Bootstrap inference for penalized GMM estimators with oracle properties ⋮ Survey-Based Forecasting: To Average or Not to Average ⋮ Moment and IV Selection Approaches: A Comparative Simulation Study ⋮ Estimation of Sparse Structural Parameters with Many Endogenous Variables

Cites Work

• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Heuristics of instability and stabilization in model selection
• Discontinuities of weak instrument limiting distributions.
• Asymptotics for Lasso-type estimators.
• Variable selection for Cox's proportional hazards model and frailty model
• Weak convergence and empirical processes. With applications to statistics
• PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
• Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
• Ideal spatial adaptation by wavelet shrinkage
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• GMM with Weak Identification
• A Statistical View of Some Chemometrics Regression Tools
• Testing Parameters in GMM Without Assuming that They Are Identified
• Instrumental Variable Estimation of Nonparametric Models
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models

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