 Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data ModelsCREATES Research Papers from Department of Economics and Business Economics, Aarhus University Abstract: 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. We do this without assuming sub-Gaussianity of the error terms. However, a partial orthogonality condition of the same type as in Huang et al. (2008) is needed. Keywords: Panel data; high dimensional modeling; variable selection; Bridge estimators; oracle property (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2010-56 Access Statistics for this paper More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University |
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