Cross-validation for selecting a model selection procedure

DOI10.1016/j.jeconom.2015.02.006zbMath1337.62387OpenAlexW2110118110MaRDI QIDQ494374

Yongli Zhang, Yuhong Yang

Publication date: 1 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.006

zbMATH Keywords

cross-validationinformation criterionLASSOMCPSCADadaptive procedure selectioncross-validation paradoxdata splitting ratio

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Linear inference, regression (62J99)

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Uses Software

• ElemStatLearn

Cites Work

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