Jin, Fei; Lee, Lung-fei - In: Econometrics : open access journal 6 (2018) 1, pp. 1-24
. The maximum likelihood estimator in the irregular case usually has a rate of convergence slower than the √n-rate in a … to select the involved tuning parameter. We show that the penalized maximum likelihood estimator has the oracle … properties. The method can implement model selection and estimation simultaneously and the estimator always has the usual √n …
