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Factor-Adjusted Regularized Model Selection
This paper studies model selection consistency for high dimensional sparse regression when data exhibits both cross-sectional and serial dependency. Most commonly-used model selection methods fail to consistently recover the true model when the covariates are highly correlated. Motivated by economet...
Gorde:
| Argitaratua izan da: | J Econom |
|---|---|
| Egile Nagusiak: | , , |
| Formatua: | Artigo |
| Hizkuntza: | Inglês |
| Argitaratua: |
2020
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| Gaiak: | |
| Sarrera elektronikoa: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7141573/ https://ncbi.nlm.nih.gov/pubmed/32269406 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.jeconom.2020.01.006 |
| Etiketak: |
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