Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
DOI10.1016/J.JECONOM.2015.01.007zbMATH Open1337.62167OpenAlexW2155279231WikidataQ57437086 ScholiaQ57437086MaRDI QIDQ494397FDOQ494397
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
Recommendations
- LASSO-TYPE GMM ESTIMATOR
- Choosing instrumental variables in conditional moment restriction models
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Adaptive lasso for generalized linear models with a diverging number of parameters
- Moment and IV selection approaches: a comparative simulation study
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Ridge regression; shrinkage estimators (Lasso) (62J07)
Cites Work
- The Adaptive Lasso and Its Oracle Properties
- Least angle regression. (With discussion)
- Weak convergence and empirical processes. With applications to statistics
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- Ideal spatial adaptation by wavelet shrinkage
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Choosing the Number of Instruments
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Instrumental Variables Regression with Weak Instruments
- Title not available (Why is that?)
- Asymptotics for Lasso-type estimators.
- Variable selection for Cox's proportional hazards model and frailty model
- Sparse models and methods for optimal instruments with an application to eminent domain
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- Cox's regression model for counting processes: A large sample study
- Information in generalized method of moments estimation and entropy-based moment selection
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- LASSO-TYPE GMM ESTIMATOR
- Constructing Optimal Instruments by First-Stage Prediction Averaging
- Wavelet thresholding for non-necessarily Gaussian noise: idealism
- Instrumental variable estimation with heteroskedasticity and many instruments
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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