ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS

DOI10.1017/S0266466612000230zbMath1316.62100arXiv1310.8207OpenAlexW2039888909MaRDI QIDQ4917233

Anders Bredahl Kock

Publication date: 29 April 2013

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

Full work available at URL: https://arxiv.org/abs/1310.8207

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (12)

Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models ⋮ A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks ⋮ Variable selection in heterogeneous panel data models with cross‐sectional dependence ⋮ Shrinkage estimation of dynamic panel data models with interactive fixed effects ⋮ Machine learning panel data regressions with heavy-tailed dependent data: theory and application ⋮ POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA ⋮ Wild bootstrap inference for penalized quantile regression for longitudinal data ⋮ Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso ⋮ UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS ⋮ SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES ⋮ On Hodges' superefficiency and merits of oracle property in model selection ⋮ Oracle Inequalities for Convex Loss Functions with Nonlinear Targets

Cites Work

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• The Adaptive Lasso and Its Oracle Properties
• Lasso-type recovery of sparse representations for high-dimensional data
• Asymptotics for Lasso-type estimators.
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• Variable selection using MM algorithms
• Panel Data Econometrics

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