Testing a single regression coefficient in high dimensional linear models

DOI10.1016/j.jeconom.2016.05.016zbMath1443.62198OpenAlexW2425223249WikidataQ38701411 ScholiaQ38701411MaRDI QIDQ311657

Hansheng Wang, Wei Lan, Ping-Shou Zhong, Run-Ze Li, Chih-Ling Tsai

Publication date: 13 September 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.016

zbMATH Keywords

false discovery ratehigh dimensional datacorrelated predictors screeningsingle coefficient test

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Paired and multiple comparisons; multiple testing (62J15)

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Uses Software

• pcalg

Cites Work

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