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Oracle efficient variable selection in random and fixed effects panel data models

Anders Bredahl Kock
(CREATES, Aarhus University)
Thieleseminar
Torsdag, 8 marts, 2012, at 13:15-14:00, in Koll. D (1531-211)
Abstrakt:
This paper generalizes the results for the Bridge estimator of Huang et al. (2008) to linear random and fixed effects panel data models which are allowed to grow in both dimensions. In particular, we show that the Bridge estimator is oracle efficient. It can correctly distinguish between relevant and irrelevant variables and the asymptotic distribution of the estimators of the coefficients of the relevant variables is the same as if only these had been included in the model, i.e. as if an oracle had revealed the true model prior to estimation. In the case of more explanatory variables than observations we prove that the Marginal Bridge estimator can asymptotically correctly distinguish between relevant and irrelevant explanatory variables if the error terms are Gaussian. Furthermore, a partial orthogonality condition of the same type as in Huang et al. (2008) is needed to restrict the dependence between relevant and irrelevant variables.
Organiseret af: The T.N. Thiele Centre
Kontaktperson: Jens Ledet Jensen