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L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271
Persistent link: https://www.econbiz.de/10011598121
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Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models
Kock, Anders Bredahl - In: Journal of econometrics 195 (2016) 1, pp. 71-85
Persistent link: https://www.econbiz.de/10011705233
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Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas; Paparoditis, Efstathios; Trenkler, Carsten - In: Journal of econometrics 234 (2023) 1, pp. 276-300
Persistent link: https://www.econbiz.de/10014364826
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High dimensional generalized empirical likelihood for moment restrictions with dependent data
Chan, Jinyuan; Chen, Song Xi; Chen, Xiaohong - In: Journal of econometrics 185 (2015) 1, pp. 283-304
Persistent link: https://www.econbiz.de/10011339855
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Exponentially tilted likelihood inference on growing dimensional unconditional moment models
Tang, Niansheng; Yan, Xiaodong; Zhao, Puying - In: Journal of econometrics 202 (2018) 1, pp. 57-74
Persistent link: https://www.econbiz.de/10011974553
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Variable selection in panel models with breaks
Smith, Simon C.; Timmermann, Allan; Zhu, Yinchu - In: Journal of econometrics 212 (2019) 1, pp. 323-344
Persistent link: https://www.econbiz.de/10012303949
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An integrated panel data approach to modelling economic growth
Feng, Guohua; Gao, Jiti; Peng, Bin - In: Journal of econometrics 228 (2022) 2, pp. 379-397
Persistent link: https://www.econbiz.de/10013441803
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On LASSO for predictive regression
Lee, Ji Hyung; Shi, Zhentao; Gao, Zhan - In: Journal of econometrics 229 (2022) 2, pp. 322-349
Persistent link: https://www.econbiz.de/10013441886
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Cross-validation for selecting a model selection procedure
Zhang, Yongli; Yang, Yuhong - In: Journal of econometrics 187 (2015) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10011498762
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Sparse linear models and l1-regularized 2SLS with high-dimensional endogenous regressors and instruments
Zhu, Ying - In: Journal of econometrics 202 (2018) 2, pp. 196-213
Persistent link: https://www.econbiz.de/10011974561