Bootstrap inference for penalized GMM estimators with oracle properties

DOI10.1080/07474938.2019.1630076MaRDI QIDQ5861002zbMATH OpenOpenAlexWikidataFDO

Authors Lorenzo Camponovo

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://econpapers.repec.org/RePEc:sur:surrec:0618

zbMATH Keywords

nonparametric bootstraporacle propertiespenalized GMM estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
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Cited in

(2)

• Bootstrap based asymptotic refinements for high-dimensional nonlinear models
• Bootstrap bias-adjusted GMM estimators

Describes a project that uses

Uses Software

• covTest

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