Works (23)
Updated: April 8th, 2024 08:24
2024 article
Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators
Caner, M., & Eliaz, K. (2024, March 11). JOURNAL OF BUSINESS & ECONOMIC STATISTICS.
author keywords: Machine learning; Moment oracle inequality; Overfit
Source: Web Of Science
Added: April 1, 2024
2023 journal article
Generalized linear models with structured sparsity estimators
JOURNAL OF ECONOMETRICS, 236(2).
author keywords: Uniformity; Size and power of the test; Restrictions
TL;DR:
This paper provides a feasible weighted nodewise regression proof which generalizes the results in the literature from a simple l_1 norm usage to norms generated from convex cones and debias the first step estimator via getting an approximate inverse of the singular-sample second order partial derivative of Generalized Linear Model loss.
(via Semantic Scholar)
arxiv.org (repository)
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
Source: Web Of Science
Added: August 14, 2023
2023 journal article
Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models
JOURNAL OF ECONOMETRICS, 235(2), 393–417.
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: July 31, 2023
2021 journal article
A Nodewise Regression Approach to Estimating Large Portfolios
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 39(2), 520–531.
author keywords: High-dimensionality; Penalized regression; Portfolio optimization; Precision matrix
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
Source: Web Of Science
Added: December 16, 2019
2021 journal article
An upper bound for functions of estimators in high dimensions
ECONOMETRIC REVIEWS, 40(1), 1–13.
author keywords: Lasso; many assets; many restrictions
TL;DR:
The upper bound random variable may converge faster, slower, or at the same rate as estimators depending on the behavior of the partial derivative of the function.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
Source: Web Of Science
Added: September 14, 2020
2021 journal article
Partners in debt: An endogenous non-linear analysis of the effects of public and private debt on growth
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 76, 694–711.
author keywords: Public and private debt; Interactive effect; Economic growth; Endogenous threshold; Dynamic panel data
UN Sustainable Development Goal Categories
1. No Poverty
(Web of Science)
8. Decent Work and Economic Growth
(Web of Science)
10. Reduced Inequalities
(Web of Science)
Source: Web Of Science
Added: November 15, 2021
2020 journal article
Inference in partially identified models with many moment inequalities using Lasso
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 206, 211–248.
author keywords: Many moment inequalities; Self-normalizing sum; Multiplier bootstrap; Empirical bootstrap; Lasso; Inequality selection
TL;DR:
A novel two-step inference procedure that combines the methods proposed by Chernozhukov, Chetverikov and Kato with a first step moment inequality selection based on the Lasso is proposed, which controls asymptotic size uniformly, both in underlying parameter and data distribution.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
Source: Web Of Science
Added: January 6, 2020
2016 journal article
Moment and IV selection approaches: A comparative simulation study
Econometric Reviews, 35(8-10), 1562–1581.
Source: NC State University Libraries
Added: August 6, 2018
2015 journal article
Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso
Journal of Econometrics, 187(1), 256–274.
Source: NC State University Libraries
Added: August 6, 2018
2014 journal article
Adaptive Elastic Net for Generalized Methods of Moments
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 32(1), 30–47.
author keywords: GMM; Oracle property; Penalized estimators
TL;DR:
A new technique is introduced that can simultaneously estimate and select the model in generalized method of moments (GMM) context and has the oracle property, meaning that it can estimate nonzero parameters with their standard limit and the redundant parameters are dropped from the equations simultaneously.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2014 journal article
Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics
Journal of Econometrics, 182(2), 247–268.
Source: NC State University Libraries
Added: August 6, 2018
2014 journal article
selecting the correct number of factors in approximate factor models: The large panel case with group bridge estimators
Journal of Business & Economic Statistics, 32(3), 359–374.
Source: NC State University Libraries
Added: August 6, 2018
2013 journal article
Valid tests when instrumental variables do not perfectly satisfy the exclusion restriction
Stata Journal, 13(3), 528–546.
Source: NC State University Libraries
Added: August 6, 2018
2012 journal article
CUE with many weak instruments and nearly singular design
Journal of Econometrics, 170(2), 422–441.
Source: NC State University Libraries
Added: August 6, 2018
2012 journal article
The validity of instruments revisited
Journal of Econometrics, 166(2), 255–266.
Source: NC State University Libraries
Added: August 6, 2018
2012 journal article
Thirtieth anniversary of generalized method of moments introduction
Journal of Econometrics, 170(2), 251–255.
Source: NC State University Libraries
Added: August 6, 2018
2011 journal article
Pivotal structural change tests in linear simultaneous equations with weak identification
Econometric Theory, 27(2), 413–426.
Source: NC State University Libraries
Added: August 6, 2018
2010 journal article
Exponential tilting with weak instruments: Estimation and testing
Oxford Bulletin of Economics and Statistics, 72(3), 307–325.
Source: NC State University Libraries
Added: August 6, 2018
2010 journal article
Sovereign Wealth Funds: The Norwegian Experience
WORLD ECONOMY, 33(4), 597–614.
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2010 journal article
Testing, estimation in gmm and cue with nearly-weak identification
Econometric Reviews, 29(3), 330–363.
Source: NC State University Libraries
Added: August 6, 2018
2009 journal article
LASSO-TYPE GMM ESTIMATOR
ECONOMETRIC THEORY, 25(1), 270–290.
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2008 journal article
Are "Nearly Exogenous Instruments" reliable?
ECONOMICS LETTERS, 101(1), 20–23.
author keywords: valid instruments; weak identification; inference
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2008 journal article
Nearly-singular design in GMM and generalized empirical likelihood estimators
JOURNAL OF ECONOMETRICS, 144(2), 511–523.
author keywords: singular matrix; rate of convergence; small sample properties
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
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