Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators

DOI10.1080/07474938.2022.2091363OpenAlexW4294162991MaRDI QIDQ5040541

David M. Drukker, Di Liu

Publication date: 17 October 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2022.2091363

zbMATH Keywords

Lassocovariate selectionstepwisehigh-dimensional GLM modelLasso tuning parametersNeyman-orthogonal estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Uses Software

• Stata
• glmnet
• SIS

Cites Work

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