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Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models

Abstract:

In this paper we study high-dimensional correlated random effects panel data models. Our setting is useful as it allows including time invariant covariates as under random effects yet allows for correlation between covariates and unobserved heterogeneity as under fixed effects. We use the Mundlak–Chamberlain device to model this correlation. Allowing for a flexible correlation structure naturally leads to a high-dimensional model in which least squares estimat...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1016/j.jeconom.2016.06.001

Authors


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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Oxford college:
St Hilda's College
Role:
Author
Publisher:
Elsevier Publisher's website
Journal:
Journal of Econometrics Journal website
Volume:
195
Issue:
1
Pages:
71-85
Publication date:
2016-07-07
Acceptance date:
2016-06-19
DOI:
Source identifiers:
794890
Keywords:
Pubs id:
pubs:794890
UUID:
uuid:cfb7a7fa-61b3-4fb0-96e8-fad7e826dd0e
Local pid:
pubs:794890
Deposit date:
2019-01-31

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