Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects

DOI10.1016/J.CSDA.2016.02.001zbMath1466.62142OpenAlexW2274341754MaRDI QIDQ1659129

Rui Li, Alan T. K. Wan, Jin-hong You

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2016.02.001

zbMATH Keywords

GMMvariable selectionB-splineSCAD penaltyinstrument matrix

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Regularization in dynamic random‐intercepts models for analysis of longitudinal data ⋮ Orthogonality based penalized GMM estimation for variable selection in partially linear spatial autoregressive models

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