Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator
Abstract
We propose generalized moments LASSO estimator, combining LASSO with GMM, for penalized variable selection and estimation under the spatial error model with spatially autoregressive errors. We establish parameter consistency and selection sign consistency of the proposed estimator in the low dimensional setting when the parameter dimension p < sample size n , as well as the high dimensional setting with p greater than and growing with n. Finite...
Paper Details
Title
Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator
Published Date
Nov 6, 2018
Journal
Volume
81
Issue
S1
Pages
146 - 200
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