Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso

DOI10.1016/J.JECONOM.2015.01.007MaRDI QIDQ494397zbMATH OpenOpenAlexWikidataFDO

Authors Qingliang Fan, Mehmet Caner

Publication date 1 September 2015

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.01.007

zbMATH Keywords

model selectionshrinkage estimatorsnear minimax risk bound

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 2230055 (Why is no real title available?)
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• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Ideal spatial adaptation by wavelet shrinkage
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• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
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• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Unified LASSO Estimation by Least Squares Approximation
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Variable selection for Cox's proportional hazards model and frailty model
• Wavelet thresholding for non-necessarily Gaussian noise: idealism
• Weak convergence and empirical processes. With applications to statistics

Cited in

(12)

• UNIFORM ASYMPTOTICS AND CONFIDENCE REGIONS BASED ON THE ADAPTIVE LASSO WITH PARTIALLY CONSISTENT TUNING
• Inference for high-dimensional instrumental variables regression
• Adaptive k-class estimation in high-dimensional linear models
• Endogeneity in high dimensions
• Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective
• Culling the Herd of Moments with Penalized Empirical Likelihood
• Generalized high-dimensional trace regression via nuclear norm regularization
• Variable selection for structural equation with endogeneity
• Efficient estimation for longitudinal data by combining large-dimensional moment conditions
• Dummy endogenous treatment effect estimation using high‐dimensional instrumental variables
• Inference in partially identified models with many moment inequalities using Lasso
• Estimation of Sparse Structural Parameters with Many Endogenous Variables

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