Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency
Author:
Affiliation:
1. Graduate School of Business, Keio University, Kanagawa, Japan
2. Department of Economics, Columbia University, New York, NY, USA
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474938.2015.1092822
Reference38 articles.
1. Eigenvalue Ratio Test for the Number of Factors
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4. Panel Data Models With Interactive Fixed Effects
5. Determining the Number of Factors in Approximate Factor Models
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