Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model

DOI10.1016/j.jeconom.2018.06.005zbMath1452.62922OpenAlexW2810007484WikidataQ115571103 ScholiaQ115571103MaRDI QIDQ1792447

Lung-fei Lee, Fei Jin

Publication date: 12 October 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.06.005

zbMATH Keywords

Lassooracle propertiessingular covariance matrixunknown heteroskedasticitynonlinear two-stage least squaresirregular estimates and test statisticsmatrix exponential spatial specification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20)

Related Items (2)

GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors ⋮ Editorial: Advance in theoretical econometrics -- essays in honor of Takeshi Amemiya

Uses Software

• SLEP

Cites Work

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