Shrinkage estimation of semi-parametric spatial autoregressive panel data model with fixed effects

DOI10.1016/J.SPL.2022.109746MaRDI QIDQ2112273zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 10 January 2023

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2022.109746

zbMATH Keywords

panel datasemiparametric modelshrinkagespatial autoregressive

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30)

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Cites work

• A weak‐signal‐assisted procedure for variable selection and statistical inference with an informative subsample
• Estimation of partially linear single-index spatial autoregressive model
• Estimation of partially specified spatial panel data models with fixed-effects
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Post selection shrinkage estimation for high-dimensional data analysis
• Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models
• Semiparametric GMM estimation of spatial autoregressive models
• Shrinkage estimation of the linear model with spatial interaction
• The Adaptive Lasso and Its Oracle Properties
• Variable selection for semiparametric varying-coefficient spatial autoregressive models with a diverging number of parameters
• Variable selection for spatial autoregressive models with a diverging number of parameters
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Weak signals in high-dimensional regression: detection, estimation and prediction

Cited in

(5)

• Shrinkage estimation of panel data models with interactive effects
• Semiparametric estimation of spatial autoregressive smooth-coefficient panel stochastic frontier models
• The TSLS estimation and its application for semi-parametric spatial lag econometric model with panel data
• Shrinkage estimation of the linear model with spatial interaction
• Shrinkage estimation in spatial autoregressive model

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