Select the valid and relevant moments: An information-based LASSO for GMM with many moments

Published 2015 View Full Article

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Title
Select the valid and relevant moments: An information-based LASSO for GMM with many moments
Authors
Keywords
Adaptive penalty, GMM, Many moments, Moment selection, Oracle properties, Shrinkage estimation
Journal
JOURNAL OF ECONOMETRICS
Volume 186, Issue 2, Pages 443-464
Publisher
Elsevier BV
Online
2015-05-08
DOI
10.1016/j.jeconom.2015.02.019

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