Analysis of Testing‐Based Forward Model Selection

DOI10.3982/ECTA16273zbMath1467.62040arXiv1512.02666OpenAlexW3087918275MaRDI QIDQ4992165

Damian Kozbur

Publication date: 7 June 2021

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.02666

zbMATH Keywords

model selectionhypothesis testingsparsityforward regression

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Statistical ranking and selection procedures (62F07)

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