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Asymptotics of non-linear lasso type estimators

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  • mehmet caner

Abstract

This paper extends the linear lasso estimators to non-linear case. We are especially interested in GMM type of Lasso estimators. Lasso estimators are generalization of ridge regression in least squares. With this setup we can deal with identification problem introduced by weak instruments. When the instruments are weak, we obtain asymptotically normal limits although the rate of convergence of the estimators are slower than square root

Suggested Citation

  • mehmet caner, 2004. "Asymptotics of non-linear lasso type estimators," Econometric Society 2004 North American Winter Meetings 156, Econometric Society.
    • Handle: RePEc:ecm:nawm04:156
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    More about this item

    Keywords

    ridge regreesion; empirical process theory; weak instruments;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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