Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models
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DOI: 10.1016/j.jeconom.2016.06.001
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- Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios, 2022. "High Dimensional Generalised Penalised Least Squares," Papers 2207.07055, arXiv.org, revised Oct 2023.
- Vogt, M. & Walsh, C. & Linton, O., 2022.
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Journal of Econometrics, Elsevier, vol. 236(2).
- Mehmet Caner, 2021. "Generalized Linear Models with Structured Sparsity Estimators," Papers 2104.14371, arXiv.org.
- Babii, Andrii & Ball, Ryan T. & Ghysels, Eric & Striaukas, Jonas, 2023.
"Machine learning panel data regressions with heavy-tailed dependent data: Theory and application,"
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- Andrii Babii & Ryan T. Ball & Eric Ghysels & Jonas Striaukas, 2020. "Machine Learning Panel Data Regressions with Heavy-tailed Dependent Data: Theory and Application," Papers 2008.03600, arXiv.org, revised Nov 2021.
- Oliver Linton & Maximilian Ruecker & Michael Vogt & Christopher Walsh, 2022.
"Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects,"
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2206.12152, arXiv.org, revised Nov 2024.
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- Lamarche, Carlos & Parker, Thomas, 2023.
"Wild bootstrap inference for penalized quantile regression for longitudinal data,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1799-1826.
- Carlos Lamarche & Thomas Parker, 2020. "Wild Bootstrap Inference for Penalized Quantile Regression for Longitudinal Data," Papers 2004.05127, arXiv.org, revised May 2022.
- Carlos Lamarche & Thomas Parker, 2022. "Wild Bootstrap Inference For Penalized Quantile Regression For Longitudinal Data," Working Papers 22003 Classification-C15,, University of Waterloo, Department of Economics.
- Harold D. Chiang & Kengo Kato & Yukun Ma & Yuya Sasaki, 2022.
"Multiway Cluster Robust Double/Debiased Machine Learning,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1046-1056, June.
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- Mehmet Caner & Kfir Eliaz, 2021. "Shoiuld Humans Lie to Machines: The Incentive Compatibility of Lasso and General Weighted Lasso," Papers 2101.01144, arXiv.org, revised Sep 2021.
- Linton, O. B. & Rücker, M. & Vogt, M. & Walsh, C., 2024. "Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects," Janeway Institute Working Papers 2429, Faculty of Economics, University of Cambridge.
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More about this item
Keywords
Panel data; Lasso; Oracle inequality; Sup-norm bounds; High-dimensional models; Weak sparsity; Correlated random effects; Mundlak–Chamberlain; Variable selection; Uniform inference;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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