Shrinkage estimation of dynamic panel data models with interactive fixed effects
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Cites work
- scientific article; zbMATH DE number 2161246 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
- A nonparametric poolability test for panel data models with cross section dependence
- A note on adaptive group Lasso
- Adaptive GMM shrinkage estimation with consistent moment selection
- An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
- Analysis of interactive fixed effects dynamic linear panel regression with measurement error
- Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
- Asymptotic distribution of factor augmented estimators for panel regression
- Asymptotic properties of bridge estimators in sparse high-dimensional regression models
- Asymptotics for Lasso-type estimators.
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Automated estimation of vector error correction models
- Conditional independence, conditional mixing and conditional association
- Consistent group selection in high-dimensional linear regression
- Determining the Number of Factors in Approximate Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Dynamic linear panel regression models with interactive fixed effects
- Efficient estimation of approximate factor models via penalized maximum likelihood
- Eigenvalue ratio test for the number of factors
- Endogeneity in high dimensions
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Estimation of random coefficients logit demand models with interactive fixed effects
- Evaluating latent and observed factors in macroeconomics and finance
- Growth Empirics: A Panel Data Approach
- Inferential Theory for Factor Models of Large Dimensions
- Jackknife model averaging for quantile regressions
- LASSO-TYPE GMM ESTIMATOR
- Large panels with common factors and spatial correlation
- Least squares after model selection in high-dimensional sparse models
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- On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
- On the distribution of the adaptive LASSO estimator
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- Panel data models with interactive fixed effects
- Profile-kernel likelihood inference with diverging number of parameters
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- Shrinkage estimation of high-dimensional factor models with structural instabilities
- Sieve estimation of panel data models with cross section dependence
- Sparse estimators and the oracle property, or the return of Hodges' estimator
- Sparse models and methods for optimal instruments with an application to eminent domain
- Specification test for panel data models with interactive fixed effects
- Testing homogeneity in panel data models with interactive fixed effects
- Testing hypotheses about the number of factors in large factor models
- The Adaptive Lasso and Its Oracle Properties
- Tuning parameter selectors for the smoothly clipped absolute deviation method
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Variable selection via the weighted group Lasso for factor analysis models
Cited in
(38)- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- A note on factor models with latent group structures
- On time-varying panel data models with time-varying interactive fixed effects
- Nonstationary panel models with latent group structures and cross-section dependence
- On factor models with random missing: EM estimation, inference, and cross validation
- Uniform inference in high-dimensional dynamic panel data models with approximately sparse fixed effects
- Panel threshold models with interactive fixed effects
- Asymptotic inference for \(\mathrm{AR}(1)\) panel data
- Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects
- Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects
- Variable selection in heterogeneous panel data models with cross‐sectional dependence
- Factor dimension determination for panel interactive effects models: an orthogonal projection approach
- Determination of different types of fixed effects in three-dimensional panels
- On time-varying factor models: estimation and testing
- Inference on heterogeneous treatment effects in high‐dimensional dynamic panels under weak dependence
- Shrinkage Estimation of Factor Models With Global and Group-Specific Factors
- Dynamic spatial panel data models with common shocks
- Network-Based Clustering for Varying Coefficient Panel Data Models
- Estimation and Inference on Time-Varying FAVAR Models
- 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
- scientific article; zbMATH DE number 7376773 (Why is no real title available?)
- Estimating and Accounting for Unobserved Covariates in High-Dimensional Correlated Data
- An incidental parameters free inference approach for panels with common shocks
- A spatial panel quantile model with unobserved heterogeneity
- Linear panel regressions with two-way unobserved heterogeneity
- Shrinkage estimation of panel data models with interactive effects
- Test for serial correlation in panel data models with interactive fixed effects
- POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA
- 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
- Sieve estimation of state-varying factor models
- Consistent variable selection in large panels when factors are observable
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