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Hybrid generalized empirical likelihood estimators : instrument selection with adaptive lasso

Caner, Mehmet; Fan, Qingliang - In: Journal of econometrics 187 (2015) 1, pp. 256-274

Persistent link: https://www.econbiz.de/10011498940

Model selection and shrinkage : an overview

Caner, Mehmet; Medeiros, Marcelo C. - In: Econometric reviews 35 (2016) 8/10, pp. 1343-1346

Persistent link: https://www.econbiz.de/10011592330

Determining the number of factors with potentially strong within-block correlations in error terms

Han, Xu; Caner, Mehmet - In: Econometric reviews 36 (2017) 6/9, pp. 946-969

Persistent link: https://www.econbiz.de/10011795541

Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection

Lee, Yoonseok; Caner, Mehmet; Han, Xu - Center for Policy Research, Maxwell School - 2015

This paper develops the adaptive elastic net GMM estimator in large dimensional models with many possibly invalid … sample size. The basic idea is to conduct the standard GMM estimation combined with two penalty terms: the quadratic … conditions to estimate the selected structural parameters and thus achieves the standard GMM efficiency bound as if we know the …

Persistent link: https://www.econbiz.de/10011269089

Adaptive elastic net GMM estimation with many invalid moment conditions : simultaneous model and moment selection

Caner, Mehmet; Han, Xu; Lee, Yoonseok - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 24-46

Persistent link: https://www.econbiz.de/10011894389

Adaptive elastic net for generalized methods of moments

Caner, Mehmet; Zhang, Hao Helen; Danaher, Peter J. - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 30-47

Persistent link: https://www.econbiz.de/10010380481