Estimation in the presence of heteroskedasticity of unknown form: a Lasso-based approach

DOI10.1515/JEM-2023-0007zbMATH Open1541.62358MaRDI QIDQ6561136FDOQ6561136

Authors: Emilio González-Coya, Pierre Perron 

Publication date: 24 June 2024

Published in: Journal of Econometric Methods (Search for Journal in Brave)

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zbMATH Keywords

linear modelconfidence intervalsnonparametric methodsmean-squared errorfeasible generalized least-squares

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• A general approach to Lagrange multiplier model diagnostics
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• Approximate Power Functions for Some Robust Tests of Regression Coefficients
• Resurrecting weighted least squares
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression
• Feasible generalized least squares using support vector regression
• Efficient Computation and Model Selection for the Support Vector Regression

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