Shrinkage estimation of the varying-coefficient model with continuous and categorical covariates

DOI10.1016/j.econlet.2021.109819zbMath1468.62319OpenAlexW3137442455MaRDI QIDQ2036915

Xiaoyi Han, Huanjun Zhu, Bin Peng, Yanrong Yang

Publication date: 30 June 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109819

zbMATH Keywords

asymptotic theoryvariable selectionvarying-coefficient modelkernel least absolute shrinkage and selection operator (KLASSO)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical ranking and selection procedures (62F07)

Cites Work

• Unnamed Item
• The Adaptive Lasso and Its Oracle Properties
• Statistical methods with varying coefficient models
• Estimation and inference in generalized additive coefficient models for nonlinear interactions with high-dimensional covariates
• Variable selection for a categorical varying-coefficient model with identifications for determinants of body mass index
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• SMOOTH VARYING-COEFFICIENT ESTIMATION AND INFERENCE FOR QUALITATIVE AND QUANTITATIVE DATA
• Unified LASSO Estimation by Least Squares Approximation
• Multivariate binary discrimination by the kernel method
• Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models
• Shrinkage Estimation of the Varying Coefficient Model
• Model Selection and Estimation in Regression with Grouped Variables

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