Shrinkage estimation of dynamic panel data models with interactive fixed effects

Journal of Econometrics

Volumn 190, Issue 1, 2016, Pages 148-175

  Lu, Xun ^a   Su, Liangjun ^b  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Adaptive Lasso; Dynamic panel; Factor selection; Group Lasso; Interactive fixed effects; Oracle property; Selection consistency

Indexed keywords

ECONOMICS; INTELLIGENT SYSTEMS; MONTE CARLO METHODS; PARAMETER ESTIMATION; SAMPLING; SHRINKAGE;

ADAPTIVE LASSOS; DYNAMIC PANELS; FACTOR SELECTION; FIXED EFFECTS; GROUP LASSOS; ORACLE PROPERTIES; SELECTION CONSISTENCIES;

ECONOMIC AND SOCIAL EFFECTS;

EID: 84947975792     PISSN: 03044076     EISSN: 18726895     Source Type: Journal    
DOI: 10.1016/j.jeconom.2015.09.005     Document Type: Article

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