Select the valid and relevant moments : an information-based LASSO for GMM with many moments
Xu Cheng; Zhipeng Liao
| Year of publication: |
2015
|
|---|---|
| Authors: | Cheng, Xu ; Liao, Zhipeng |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 186.2015, 2, p. 443-464
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| Subject: | Adaptive penalty | GMM | Many moments | Moment selection | Oracle properties | Shrinkage estimation | Momentenmethode | Method of moments | IV-Schätzung | Instrumental variables | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011349446