Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency

DOI10.1080/07474938.2015.1092822zbMath1490.62169OpenAlexW2316923381MaRDI QIDQ5034246

Tomohiro Ando, Jushan Bai

Publication date: 24 February 2022

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

Full work available at URL: http://hdl.handle.net/11343/268149

zbMATH Keywords

endogeneityinformation criterionfactor modelspenalized methodheterogeneous coefficientssmoothly clipped absolute deviation (SCAD)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (2)

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