Shrinkage estimation of network spillovers with factor structured errors

DOI10.1016/j.jeconom.2021.11.017OpenAlexW2971777534MaRDI QIDQ2688651

Federico Martellosio, Ayden Higgins

Publication date: 3 March 2023

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

Full work available at URL: https://arxiv.org/abs/1909.02823

zbMATH Keywords

high-dimensional estimationpanel modelsinteractive fixed effectspenalised quasi-likelihoodsocial network models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Estimation of nonparametric additive models with high order spatial autoregressive errors

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