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Testing a single regression coefficient in high dimensional linear models
In linear regression models with high dimensional data, the classical z-test (or t-test) for testing the significance of each single regression coefficient is no longer applicable. This is mainly because the number of covariates exceeds the sample size. In this paper, we propose a simple and novel a...
Sparad:
| I publikationen: | J Econom |
|---|---|
| Huvudupphovsmän: | , , , , |
| Materialtyp: | Artigo |
| Språk: | Inglês |
| Publicerad: |
2016
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| Ämnen: | |
| Länkar: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5484175/ https://ncbi.nlm.nih.gov/pubmed/28663668 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.jeconom.2016.05.016 |
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