Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
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Cites work
- scientific article; zbMATH DE number 1034037 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Adaptive Lasso for Cox's proportional hazards model
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- Asymptotic properties of bridge estimators in sparse high-dimensional regression models
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Bayesian averaging, prediction and nonnested model selection
- Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
- Common risk factors in the returns on stocks and bonds
- Determining the Number of Factors in Approximate Factor Models
- Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models
- Eigenvalue ratio test for the number of factors
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Forecasting Using Principal Components From a Large Number of Predictors
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- Inferential Theory for Factor Models of Large Dimensions
- Linear regression for panel with unknown number of factors as interactive fixed effects
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- On the Non-Negative Garrotte Estimator
- On the ``degrees of freedom of the lasso
- Panel data models with interactive fixed effects
- Regularization parameter selections via generalized information criterion
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- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(6)- Model selection in the presence of incidental parameters
- Detecting homogenous predictors in high-dimensional panel model with an MCMC algorithm
- Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models
- Asymptotically efficient model selection for panel data forecasting
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- Consistent variable selection in large panels when factors are observable
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