Consistent Fixed-Effects Selection in Ultra-high dimensional Linear Mixed Models with Error-Covariate Endogeneity

DOI10.5705/SS.202019.0421MaRDI QIDQ5037804zbMATH OpenOpenAlexFDO

Authors Abhik Ghosh, Magne Thoresen

Publication date 4 March 2022

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.02971

zbMATH Keywords

endogeneityoracle variable selectionprofiled focused generalized method of momentsultrahigh-dimensional mixed effects models

Mathematics Subject Classification ID

Statistics (62-XX)

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• Joint variable selection for fixed and random effects in linear mixed-effects models
• Selection strategy for covariance structure of random effects in linear mixed-effects models
• Hierarchical selection of fixed and random effects in generalized linear mixed models

Cites work

• A note on BIC in mixed-effects models
• Econometric analysis of cross section and panel data.
• Endogeneity in high dimensions
• Estimation for high-dimensional linear mixed-effects models using \(\ell_1\)-penalization
• Generalized Instrumental Variable Models
• Mixed-Effects Models in S and S-PLUS
• Multilevel modeling with correlated effects
• Non-concave penalization in linear mixed-effect models and regularized selection of fixed effects
• Nonparametric methods for inference in the presence of instrumental variables
• Regressor and random‐effects dependencies in multilevel models
• Regularization methods for high-dimensional instrumental variables regression with an application to genetical genomics
• Regularization of Wavelet Approximations
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Variable selection in linear mixed effects models

Describes a project that uses

Uses Software

• MEMSS
• S-PLUS

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