Variable selection in heterogeneous panel data models with cross‐sectional dependence

DOI10.1111/anzs.12381zbMath1521.62161OpenAlexW4321099964MaRDI QIDQ6075180

Huanjun Zhu, Bin Peng, Xiaoling Mei

Publication date: 20 October 2023

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/anzs.12381

zbMATH Keywords

panel datahigh-dimensional modelscross-sectional dependencebridge estimatorheterogeneous coefficientsoracle efficiency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Unnamed Item
• Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models
• Semiparametric trending panel data models with cross-sectional dependence
• Large panels with common factors and spatial correlation
• Oracle inequalities and optimal inference under group sparsity
• Asymptotic theory for nonparametric regression with spatial data
• Series estimation under cross-sectional dependence
• Shrinkage estimation of dynamic panel data models with interactive fixed effects
• Asymptotics for linear processes
• Identifying latent grouped patterns in panel data models with interactive fixed effects
• Heterogeneous panel data models with cross-sectional dependence
• Variable selection in panel models with breaks
• Semiparametric single-index panel data models with cross-sectional dependence
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
• An integrated panel data approach to modelling economic growth
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Nonlinear Time Series
• UNIFORM CONVERGENCE OF SERIES ESTIMATORS OVER FUNCTION SPACES
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Identifying Latent Structures in Panel Data
• A Statistical View of Some Chemometrics Regression Tools
• ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS
• Nonparametric homogeneity pursuit in functional-coefficient models
• A Pliable Lasso
• Model Selection and Estimation in Regression with Grouped Variables
• Efficient Inference in a Random Coefficient Regression Model
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

This page was built for publication: Variable selection in heterogeneous panel data models with cross‐sectional dependence