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A Starting Note: A Historical Perspective in Lasso

Author

Listed:
  • Mehmet Caner

    (North Carolina State University.)

Abstract

In this note, I will look at history of Lasso estimation, which is the benchmark high dimensional estimation technique. I want to also give a perspective where Lasso may be evolving.

Suggested Citation

  • Mehmet Caner, 2021. "A Starting Note: A Historical Perspective in Lasso," International Econometric Review (IER), Econometric Research Association, vol. 13(1), pages 1-3, March.
    • Handle: RePEc:erh:journl:v:13:y:2021:i:1:p:1-3
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    References listed on IDEAS

    as
    1. Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
    2. Leeb, Hannes & Pötscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(1), pages 21-59, February.
    3. Caner, Mehmet & Kock, Anders Bredahl, 2018. "Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso," Journal of Econometrics, Elsevier, vol. 203(1), pages 143-168.
    4. A. Belloni & D. Chen & V. Chernozhukov & C. Hansen, 2012. "Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain," Econometrica, Econometric Society, vol. 80(6), pages 2369-2429, November.
    5. Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2014. "Inference on Treatment Effects after Selection among High-Dimensional Controlsâ€," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(2), pages 608-650.
    6. Mehmet Caner & Xu Han & Yoonseok Lee, 2018. "Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 24-46, January.
    7. Knight, Keith, 2008. "Shrinkage Estimation For Nearly Singular Designs," Econometric Theory, Cambridge University Press, vol. 24(2), pages 323-337, April.
    8. Laurent Callot & Mehmet Caner & A. Özlem Önder & Esra Ulaşan, 2021. "A Nodewise Regression Approach to Estimating Large Portfolios," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 520-531, March.
    9. Leeb, Hannes & Pötscher, Benedikt M., 2003. "The Finite-Sample Distribution Of Post-Model-Selection Estimators And Uniform Versus Nonuniform Approximations," Econometric Theory, Cambridge University Press, vol. 19(1), pages 100-142, February.
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    More about this item

    Keywords

    Machine learning; supervised learning; nodewise;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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