Search Results - subject:"variable selection"

Stochastic model specification in Markov switching vector error correction models

Huber, Florian; Pfarrhofer, Michael; Zörner, Thomas O. - 2018

This paper proposes a hierarchical modeling approach to perform stochastic model specification in Markov switching vector error correction models. We assume that a common distribution gives rise to the regime-specific regression coefficients. The mean as well as the variances of this...

Persistent link: https://www.econbiz.de/10012042472

Nonparametric Variable Selection and Its Application to Additive Models

Feng, Zheng-Hui; Lin, Lu; Zhu, Ruo-Qing; Zhu, Li-Xing - 2018

For multivariate nonparametric regression models, existing variable selection methods with penalization require high …

Persistent link: https://www.econbiz.de/10012433151

Variable selection and direction estimation for single-index models via DC-TGDR method

Zhong, Wei; Liu, Xi; Ma, Shuangge - 2018

This paper is concerned with selecting important covariates and estimating the index direction simultaneously for high dimensional single-index models. We develop an efficient Threshold Gradient Directed Regularization method via maximizing Distance Covariance (DC-TGDR) between the single index...

Persistent link: https://www.econbiz.de/10012433199

Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective

Fan, Qingliang; Zhong, Wei - 2018

In this article, we study a nonparametric approach regarding a general nonlinear reduced form equation to achieve a better approximation of the optimal instrument. Accordingly, we propose the nonparametric additive instrumental variable estimator (NAIVE) with the adaptive group Lasso.We...

Persistent link: https://www.econbiz.de/10012433201

Semiparametric Estimation and Variable Selection for Single-index Copula Models

Yang, Bingduo; Hafner, Christian M.; Liu, Guannan; Long, Wei - 2018

we propose a simultaneous estimation and variable selection procedure. The proposed method allows to choose the most …

Persistent link: https://www.econbiz.de/10012433212

A methodology for automatised outlier detection in high-dimensional datasets: An application to euro area banks' supervisory data

Farnè, Matteo; Vouldis, Angelos T. - 2018

Outlier detection in high-dimensional datasets poses new challenges that have not been investigated in the literature. In this paper, we present an integrated methodology for the identification of outliers which is suitable for datasets with higher number of variables than observations. Our...

Persistent link: https://www.econbiz.de/10011916875

A review on variable selection in regression analysis

Desboulets, Loann David Denis - In: Econometrics 6 (2018) 4, pp. 1-27

In this paper, we investigate several variable selection procedures to give an overview of the existing literature for … variable selection in the general sense. …

Persistent link: https://www.econbiz.de/10011995233

Variable Selection in Causal Inference using a Simultaneous Penalization Method

Ertefaie, Ashkan; Asgharian, Masoud; Stephens, David A. - In: Journal of Causal Inference 6 (2018) 1

Abstract In the causal adjustment setting, variable selection techniques based only on the outcome or only on the … variables and hence cause variance inflation, in estimation of the treatment effect. We propose a variable selection method …

Persistent link: https://www.econbiz.de/10014610859

Selection of variables in small business failure analysis : mean selection vs. median selection

Tascón, María T.; Castaño, Francisco J. - In: Revista de métodos cuantitativos para la economía y … 24 (2017), pp. 54-88

This paper focuses on one of the most determinant processes in business failure assessment: Variable selection. After a … preselection of variables based on previous empirical literature, we perform a statistical variable selection on a sample of small … test or the other. Our results show that the nature of the sample determines not only the statistical variable selection …

Persistent link: https://www.econbiz.de/10011845328

Selection of questions for VAAs and the VAA-based elections

Tanguiane, Andranick S. - 2017

During the 2016 election to the Student Parliament of the Karlsruhe Institute of Technology (KIT), an experiment on 'The Third Vote' was conducted. The goal was to test an alternative election method based on the idea of internet voting advice applications (VAAs). Under the election method...

Persistent link: https://www.econbiz.de/10011580474