Model Selection and Shrinkage: An Overview

DOI10.1080/07474938.2015.1071157MaRDI QIDQ5864503zbMATH OpenOpenAlexFDO

Authors

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10.1080/07474938.2015.1071157

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to statistics (62-06)

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Cites work

• Confidence sets based on thresholding estimators in high-dimensional Gaussian regression models
• Detection and estimation of block structure in spatial weight matrix
• Efficient estimation with many weak instruments using regularization techniques
• Estimation of Sparse Structural Parameters with Many Endogenous Variables
• Forecasting macroeconomic variables using neural network models and three automated model selection techniques
• Generalized Least Squares Model Averaging
• Lassoing the HAR model: a model selection perspective on realized volatility dynamics
• Lassoing the determinants of retirement
• Moment and IV selection approaches: a comparative simulation study
• Oracle inequalities for convex loss functions with nonlinear targets
• Particle learning for fat-tailed distributions
• Stochastic model specification search for time-varying parameter VARs
• The Penalized Analytic Center Estimator
• The risk of James-Stein and Lasso shrinkage

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