Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models

DOI10.1016/j.jeconom.2016.06.001zbMath1443.62208OpenAlexW2471863548MaRDI QIDQ311643

Anders Bredahl Kock

Publication date: 13 September 2016

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

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:cfb7a7fa-61b3-4fb0-96e8-fad7e826dd0e

zbMATH Keywords

panel datavariable selectionhigh-dimensional modelsoracle inequalityLassocorrelated random effectsMundlak-Chamberlainsup-norm boundsuniform inferenceweak sparsity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items

Generalized linear models with structured sparsity estimators, Inference on heterogeneous treatment effects in high‐dimensional dynamic panels under weak dependence, Variable selection in heterogeneous panel data models with cross‐sectional dependence, Machine learning panel data regressions with heavy-tailed dependent data: theory and application, POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA, Wild bootstrap inference for penalized quantile regression for longitudinal data, UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS

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