Bootstrap inference for penalized GMM estimators with oracle properties

DOI10.1080/07474938.2019.1630076zbMATH Open1490.62188OpenAlexW2904840821WikidataQ127598002 ScholiaQ127598002MaRDI QIDQ5861002FDOQ5861002

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

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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)

Cites Work

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• Title not available (Why is that?)
• Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models
• On asymptotically optimal confidence regions and tests for high-dimensional models
• Asymptotics for Lasso-type estimators.
• A significance test for the lasso
• Bootstrapping Lasso Estimators
• Rates of convergence of the adaptive LASSO estimators to the oracle distribution and higher order refinements by the bootstrap
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• Nonconcave penalized likelihood with a diverging number of parameters.
• On the asymptotics of constrained \(M\)-estimation
• A Statistical View of Some Chemometrics Regression Tools
• A Perturbation Method for Inference on Regularized Regression Estimates
• Title not available (Why is that?)
• LASSO-TYPE GMM ESTIMATOR
• On the validity of the pairs bootstrap for lasso estimators
• Asymptotic properties of the residual bootstrap for Lasso estimators
• Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M‐Estimators
• Title not available (Why is that?)
• Asymptotic refinements of nonparametric bootstrap for quasi‐likelihood ratio tests for classes of extremum estimators

Cited In (1)

• Bootstrap bias-adjusted GMM estimators

Uses Software

• covTest

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