Shrinkage estimation of dynamic panel data models with interactive fixed effects
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Publication:894645
DOI10.1016/j.jeconom.2015.09.005zbMath1419.62516OpenAlexW2136891992MaRDI QIDQ894645
Publication date: 2 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1714
group Lassoselection consistencyoracle propertyadaptive Lassodynamic panelinteractive fixed effectsfactor selection
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)
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