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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...
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| Publicado no: | J Econom |
|---|---|
| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2020
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| Assuntos: | |
| Acesso em linha: | 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 |
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