Adaptive Elastic Net for Generalized Methods of Moments
نویسندگان
چکیده
منابع مشابه
Adaptive Elastic Net for Generalized Methods of Moments.
Model selection and estimation are crucial parts of econometrics. This paper introduces a new technique that can simultaneously estimate and select the model in generalized method of moments (GMM) context. The GMM is particularly powerful for analyzing complex data sets such as longitudinal and panel data, and it has wide applications in econometrics. This paper extends the least squares based ...
متن کاملAdaptive Elastic Net: An Improvement of Elastic Net
Lasso proved to be an extremely successful technique for simultaneous estimation and variable selection. However lasso has two major drawbacks. First, it does not capture any grouping effect and secondly in some situations lasso solutions are inconsistent. To overcome inconsistency recently adaptive lasso was proposed where adaptive weights are used for penalizing different coefficients. Adapti...
متن کاملBayesian Quantile Regression with Adaptive Elastic Net Penalty for Longitudinal Data
Longitudinal studies include the important parts of epidemiological surveys, clinical trials and social studies. In longitudinal studies, measurement of the responses is conducted repeatedly through time. Often, the main goal is to characterize the change in responses over time and the factors that influence the change. Recently, to analyze this kind of data, quantile regression has been taken ...
متن کاملAn Adaptive Elastic Net Method for Edge Linking of Images
In this paper, the authors propose an adaptive Elastic Net method for edge linking of images. Edge linking is a fundamental computer-vision task, which is a constrained optimization problem. In the proposed method, an adaptive dynamic parameter strategy and a stochastic noise strategy are introduced into the Elastic Net, which enables the network to have superior ability for escaping from local...
متن کاملBayesian Doubly Adaptive Elastic-Net Lasso For VAR Shrinkage
We develop a novel Bayesian doubly adaptive elastic-net Lasso (DAELasso) approach for VAR shrinkage. DAELasso achieves variable selection and coefficients shrinkage in a data based manner. It constructively deals with the explanatory variables that tend to be highly collinear by encouraging grouping effect. In addition, it allows for different degree of shrinkages for different coefficients. Re...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2014
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2013.836104