Variable selection in heterogeneous panel data models with cross‐sectional dependence
DOI10.1111/anzs.12381zbMath1521.62161OpenAlexW4321099964MaRDI QIDQ6075180
Huanjun Zhu, Bin Peng, Xiaoling Mei
Publication date: 20 October 2023
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/anzs.12381
panel datahigh-dimensional modelscross-sectional dependencebridge estimatorheterogeneous coefficientsoracle efficiency
Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)
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