Selecting the regularization parameters in high-dimensional panel data models : consistency and efficiency
Year of publication: |
2018
|
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Authors: | Ando, Tomohiro ; Bai, Jushan |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 1/5, p. 183-211
|
Subject: | Endogeneity | factor models | heterogeneous coefficients | information criterion | penalized method | smoothly clipped absolute deviation (SCAD) | Schätztheorie | Estimation theory | Panel | Panel study |
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