Sparse generalized Yule–Walker estimation for large spatio-temporal autoregressions with an application to NO2 satellite data

Rate-optimal robust estimation of high-dimensional vector autoregressive models

(2023) Di Wang et al.   ANNALS OF STATISTICS

Sparse spatio-temporal autoregressions by profiling and bagging

(2021) Yingying Ma et al.   JOURNAL OF ECONOMETRICS

Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations

(2021) Ricardo P. Masini et al.   JOURNAL OF TIME SERIES ANALYSIS

Spatial weights matrix selection and model averaging for spatial autoregressive models

(2018) Xinyu Zhang et al.   JOURNAL OF ECONOMETRICS

Banded spatio-temporal autoregressions

(2018) Zhaoxing Gao et al.   JOURNAL OF ECONOMETRICS

High-dimensional and banded vector autoregressions

(2016) Shaojun Guo et al.   BIOMETRIKA

Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients

(2016) Baojun Dou et al.   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

Imputation of missing data in time series for air pollutants

(2015) W.L. Junger et al.   ATMOSPHERIC ENVIRONMENT

Oracle inequalities for high dimensional vector autoregressions

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

On asymptotically optimal confidence regions and tests for high-dimensional models

(2014) Sara van de Geer et al.   ANNALS OF STATISTICS

Efficient GMM estimation of spatial dynamic panel data models with fixed effects

(2014) Lung-fei Lee et al.   JOURNAL OF ECONOMETRICS

A Sparse-Group Lasso

(2012) Noah Simon et al.   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

The Model Confidence Set

(2011)   ECONOMETRICA

Estimation for spatial dynamic panel data with fixed effects: The case of spatial cointegration

(2011) Jihai Yu et al.   JOURNAL OF ECONOMETRICS

Simultaneous analysis of Lasso and Dantzig selector

(2009) Peter J. Bickel et al.   ANNALS OF STATISTICS

Estimation of spatial autoregressive panel data models with fixed effects

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

Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large

(2008) Jihai Yu et al.   JOURNAL OF ECONOMETRICS

Sparse estimators and the oracle property, or the return of Hodges’ estimator

(2007) Hannes Leeb et al.   JOURNAL OF ECONOMETRICS