Su, Liangjun; Shi, Zhentao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014
models without endogenous regressors, and penalized GMM (PGMM) for models with endogeneity. In both cases we develop a new … variant of Lasso called classifier-Lasso (C-Lasso) that serves to shrink individual coefficients to the unknown group …-specific coefficients. C-Lasso achieves simultaneous classification and consistent estimation in a single step and the classification …