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  • Search: subject:"turning parameter choice"
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Year of publication
Subject
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Adaptive Elastic Net 1 GMM 1 dynamic panel 1 efficiency bound 1 large dimensional models 1 many invalid moments 1 turning parameter choice 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Caner, Mehmet 1 Han, Xu 1 Lee, Yoonseok 1
Institution
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Center for Policy Research, Maxwell School 1
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Center for Policy Research Working Papers 1
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RePEc 1
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Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
Lee, Yoonseok; Caner, Mehmet; Han, Xu - Center for Policy Research, Maxwell School - 2015
This paper develops the adaptive elastic net GMM estimator in large dimensional models with many possibly invalid moment conditions, where both the number of structural parameters and the number of moment conditions may increase with the sample size. The basic idea is to conduct the standard GMM...
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