ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION

DOI10.1017/S0266466612000783zbMath1290.62052OpenAlexW3125381306MaRDI QIDQ4979318

Zhipeng Liao

Publication date: 20 June 2014

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

Full work available at URL: https://doi.org/10.1017/s0266466612000783

Mathematics Subject Classification ID

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

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