Search Results - subject:"Model Selection"

Inference on treatment effects after selection amongst high-dimensional controls

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2012

-double-selection" method. Our results apply to Lasso-type methods used for covariate selection as well as to any other model selection method … large class of models. In contrast, standard post-model selection estimators fail to provide uniform inference even in … simple cases with a small, fixed number of controls. Thus our method resolves the problem of uniform inference after model …

Persistent link: https://www.econbiz.de/10009548244

Kernel estimation for Lévy driven stochastic convolutions

Comte, Fabienne; Genon-Catalot, Valentine - In: Statistics & Risk Modeling 38 (2021) 1-2, pp. 1-24

Abstract We consider a Lévy driven stochastic convolution, also called continuous time Lévy driven moving average model X(t)=\int_{0}^{t}a(t-s)\,dZ(s) , where 𝑍 is a Lévy martingale and the kernel a(\,{.}\,) a deterministic function square integrable on \mathbb{R}^{+} . Given 𝑁 i.i.d....

Persistent link: https://www.econbiz.de/10014621288

Estimating income and price elasticities of residential electricity demand with Autometrics

Pellini, Elisabetta - In: Energy economics 101 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10013161509

Model selection in utility-maximizing binary prediction

Su, Jiun-Hua - In: Journal of econometrics 223 (2021) 1, pp. 96-124

Persistent link: https://www.econbiz.de/10012619962

Does the belt and road initiative resolve the steel overcapacity in China? : evidence from a dynamic model averaging approach

Ni, Zhongxin; Lu, Xing; Xue, Wenjun - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 279-307

Persistent link: https://www.econbiz.de/10012585907

Testing for international business cycles : A multilevel factor model with stochastic factor selection

Berger, Tino; Everaert, Gerdie; Pozzi, Lorenzo - In: Journal of economic dynamics & control 128 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012628242

Incorporating statistical clustering methods into mortality models to improve forecasting performances

Tsai, Cary Chi-Liang; Cheng, Echo Sihan - In: Insurance / Mathematics & economics 99 (2021), pp. 42-62

Persistent link: https://www.econbiz.de/10012649207

Modeling the cross-section of stock returns using sensible models in a model pool

Chiang, I-Hsuan Ethan; Liao, Yin; Zhou, Qing - In: Journal of empirical finance 60 (2021), pp. 56-73

Persistent link: https://www.econbiz.de/10012692977

Sparse covariance estimation in logit mixture models

Aboutaleb, Youssef M.; Danaf, Mazen; Xie, Yifei; … - In: The econometrics journal 24 (2021) 3, pp. 377-398

Persistent link: https://www.econbiz.de/10012620708

A machine learning-based analytical framework for employee turnover prediction

Wang, Xinlei; Zhi, Jianing - In: Journal of management analytics 8 (2021) 3, pp. 351-370

Persistent link: https://www.econbiz.de/10012622577