Search Results - subject:"Penalized estimation"

Instrumental variable method for regularized estimation in generalized linear measurement error models

Xue, Lin; Wang, Liqun - In: Econometrics : open access journal 12 (2024) 3, pp. 1-14

Regularized regression methods have attracted much attention in the literature, mainly due to its application in high-dimensional variable selection problems. Most existing regularization methods assume that the predictors are directly observed and precisely measured. It is well known that in a...

Persistent link: https://www.econbiz.de/10015133941

Estimation and testing of forecast rationality with many moments

Lee, Tae-hwy; Wang, Tao - In: Macroeconomic dynamics 29 (2025), pp. 1-27

Persistent link: https://www.econbiz.de/10015624936

Semiparametric estimation of INAR models using roughness penalization

Faymonville, Maxime; Jentsch, Carsten; Weiß, Christian H. - In: Statistical Methods & Applications 32 (2022) 2, pp. 365-400

algorithms and evaluate their performance. In Monte Carlo simulations, we illustrate the superiority of the proposed penalized … estimation approach and argue that a combination of penalized and unpenalized estimation approaches results in overall best INAR …

Persistent link: https://www.econbiz.de/10015178315

Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets

Dhaene, Geert; Sercu, Piet; Wu, Jianbin - In: The journal of futures markets 42 (2022) 5, pp. 868-887

Persistent link: https://www.econbiz.de/10013187611

Constrained estimation using penalization and MCMC

Gallant, A. Ronald; Hong, Han; Leung, Michael P.; Li, Jessie - In: Journal of econometrics 228 (2022) 1, pp. 85-106

Persistent link: https://www.econbiz.de/10013441728

Using penalized likelihood to select parameters in a random coefficients multinomial logit model

Horowitz, Joel; Nesheim, Lars - 2019

The multinomial logit model with random coefficients is widely used in applied research. This paper is concerned with estimating a random coefficients logit model in which the distribution of each coefficient is characterized by finitely many parameters. Some of these parameters may be zero. The...

Persistent link: https://www.econbiz.de/10012109830