Shrinkage estimation of dynamic panel data models with interactive fixed effects
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Publication:894645
DOI10.1016/J.JECONOM.2015.09.005zbMATH Open1419.62516OpenAlexW2136891992MaRDI QIDQ894645FDOQ894645
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
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selection consistencyoracle propertygroup Lassoadaptive Lassodynamic panelinteractive fixed effectsfactor selection
Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)
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Cited In (31)
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Nonstationary panel models with latent group structures and cross-section dependence
- On factor models with random missing: EM estimation, inference, and cross validation
- Determination of different types of fixed effects in three-dimensional panels*
- Panel threshold models with interactive fixed effects
- Asymptotic inference for \(\mathrm{AR}(1)\) panel data
- Variable selection in heterogeneous panel data models with cross‐sectional dependence
- Inference on heterogeneous treatment effects in high‐dimensional dynamic panels under weak dependence
- Factor dimension determination for panel interactive effects models: an orthogonal projection approach
- Shrinkage Estimation of Factor Models With Global and Group-Specific Factors
- On time-varying factor models: estimation and testing
- Network-Based Clustering for Varying Coefficient Panel Data Models
- Estimation and Inference on Time-Varying FAVAR Models
- Dynamic spatial panel data models with common shocks
- Machine learning panel data regressions with heavy-tailed dependent data: theory and application
- Identifying latent grouped patterns in panel data models with interactive fixed effects
- Panel models with interactive effects
- Title not available (Why is that?)
- Estimating and Accounting for Unobserved Covariates in High-Dimensional Correlated Data
- An incidental parameters free inference approach for panels with common shocks
- Linear panel regressions with two-way unobserved heterogeneity
- A spatial panel quantile model with unobserved heterogeneity
- POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA
- UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS
- High-dimensional VARs with common factors
- Shrinkage estimation of network spillovers with factor structured errors
- Profile GMM estimation of panel data models with interactive fixed effects
- GMM estimation for high-dimensional panel data models
- Two-step estimation of quantile panel data models with interactive fixed effects
- Spatial dynamic panel data models with interactive fixed effects
- Consistent variable selection in large panels when factors are observable
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