Linear regression with many controls of limited explanatory power

DOI10.3982/QE1577MaRDI QIDQ5164485zbMATH OpenOpenAlexFDO

Authors Chenchuan Li (Mark), Ulrich K. Müller

Publication date 11 November 2021

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.3982/qe1577

zbMATH Keywords

high dimensional linear regressioninvariance to linear reparameterizationsL2 bound

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

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(7)

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• Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting
• The distributionally robust prediction error of the \(\sqrt{\mathrm{LASSO}}\) and related estimators

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