Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model

Functional-coefficient spatial autoregressive models with nonparametric spatial weights

(2016) Yiguo Sun   JOURNAL OF ECONOMETRICS

ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

(2016) Marcelo C. Medeiros et al.   JOURNAL OF ECONOMETRICS

Detection and Estimation of Block Structure in Spatial Weight Matrix

(2015) Clifford Lam et al.   Econometric Reviews

Oracle inequalities for high dimensional vector autoregressions

(2015) Anders Bredahl Kock et al.   JOURNAL OF ECONOMETRICS

Regularization Paths for Generalized Linear Models via Coordinate Descent

(2015) Jerome Friedman et al.   Journal of Statistical Software

Covariance and precision matrix estimation for high-dimensional time series

(2014) Xiaohui Chen et al.   ANNALS OF STATISTICS

Endogeneity in high dimensions

(2014) Jianqing Fan et al.   ANNALS OF STATISTICS

Asymptotic theory for stationary processes

(2013) Wei Biao Wu   Statistics and Its Interface

Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain

(2012)   ECONOMETRICA

Nonconcave Penalized Likelihood With NP-Dimensionality

(2011) Jianqing Fan et al.   IEEE TRANSACTIONS ON INFORMATION THEORY

Nonparametric inference of quantile curves for nonstationary time series

(2010) Zhou Zhou   ANNALS OF STATISTICS

Estimation of spatial autoregressive panel data models with fixed effects

(2009) Lung-fei Lee et al.   JOURNAL OF ECONOMETRICS

NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION

(2009) Xiaofeng Shao   ECONOMETRIC THEORY

Extended Bayesian information criteria for model selection with large model spaces

(2008) J. Chen et al.   BIOMETRIKA

Shrinkage tuning parameter selection with a diverging number of parameters

(2008) Hansheng Wang et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY