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Model selection by LASSO methods in a change-point model
LASSO change-points selection criterion asymptotic behavior oracle properties
2011/8/25
Abstract: The paper considers a linear regression model with multiple change-points occurring at unknown times. The LASSO technique is very interesting since it allows the parametric estimation, inclu...
LASSO Methods for Gaussian Instrumental Variables Models
LASSO Methods Gaussian Instrumental Variables Models
2011/3/2
In this note, we propose the use of sparse methods (e.g. LASSO, Post-LASSO,p LASSO, and Post-
p LASSO) to form rst-stage predictions and estimate optimal instru-ments in linear instrumental variable...