Estimation in the presence of heteroskedasticity of unknown form: a Lasso-based approach
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Publication:6561136
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Cites work
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A general approach to Lagrange multiplier model diagnostics
- Adapting for heteroscedasticity in linear models
- Approximate Power Functions for Some Robust Tests of Regression Coefficients
- Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression
- Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
- Econometric analysis of cross section and panel data.
- Efficient Computation and Model Selection for the Support Vector Regression
- Efficient estimation of conditional variance functions in stochastic regression
- Feasible generalized least squares using support vector regression
- Hedonic housing prices and the demand for clean air
- Least angle regression. (With discussion)
- Least squares after model selection in high-dimensional sparse models
- Nonparametrically Weighted Least Squares Estimation in Heteroscedastic Linear Regression
- On the ``degrees of freedom of the lasso
- Random forests
- Relaxed Lasso
- Resurrecting weighted least squares
- The Adaptive Lasso and Its Oracle Properties
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