Model selection and estimation are crucial parts of econometrics. This article introduces a new technique that can simultaneously estimate and select the model in generalized method of moments (GMM) context. The GMM is particularly powerful for analyzing complex datasets such as longitudinal and...

In ultrahigh-dimensional data analysis, it is extremely challenging to identify important interaction effects, and a top concern in practice is computational feasibility. For a dataset with <italic>n</italic> observations and <italic>p</italic> predictors, the augmented design matrix including all linear and order-2 terms is of...