Model selection is difficult to analyse yet theoretically and empirically important, especially for high-dimensional data analysis. Recently the least absolute shrinkage and selection operator (Lasso) has been applied in the statistical and econometric literature. Consis- tency of Lasso has been...

In this paper, we study the generalization ability (GA)---the ability of a model to predict outcomes in new samples from the same population---of the extremum estimators. By adapting the classical concentration inequalities, we propose upper bounds for the empirical out-of-sample prediction...

In this paper, we study the performance of extremum estimators from the perspective of generalization ability (GA): the ability of a model to predict outcomes in new samples from the same population. By adapting the classical concentration inequalities, we derive upper bounds on the empirical...

This paper studies the behavioral changes produced by the events of September 11th, 2001 on intercity air travel behavior, the impacts that increases in security inspection times had on the airline industry’s market share, and the economic optimality of inspection time goals. We develop...