This paper investigates the asymptotic properties of a penalized empirical likelihood estimator for moment restriction models when the number of parameters ( p n ) and/or the number of moment restrictions increases with the sample size. Our main result is that the SCAD-penalized empirical...

We consider the situation when there is a large number of series, $N$, each with $T$ observations, and each series has some predictive ability for the variable of interest, $y$. A methodology of growing interest is to first estimate common factors from the panel of data by the method of...

Common factors play an important role in many disciplines of social science. In economics, the factors are the common shocks that underlie the co-movements of the large number of economic time series. The question of interest is whether some observable economic variables are in fact the...