Kock, Anders Bredahl - In: Econometric Theory 29 (2013) 01, pp. 115-152
This paper generalizes the results for the Bridge estimator of Huang, Horowitz, and Ma (<xref>2008</xref>) to linear random and fixed effects panel data models which are allowed to grow in both dimensions. In particular, we show that the Bridge estimator isoracle efficient. It can correctly distinguish...