Shrinkage estimation of the linear model with spatial interaction

Yueqin Wu () and Yan Sun ()
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Yueqin Wu: Shanghai Normal University
Yan Sun: Shanghai University of Finance and Economics

Metrika: International Journal for Theoretical and Applied Statistics, 2017, vol. 80, issue 1, No 3, 68 pages

Abstract: Abstract The linear model with spatial interaction has attracted huge attention in the past several decades. Different from most existing research which focuses on its estimation, we study its variable selection problem using the adaptive lasso. Our results show that the method can identify the true model consistently, and the resulting estimator can be efficient as the oracle estimator which is obtained when the zero coefficients in the model are known. Simulation studies show that the proposed methods perform very well.

Keywords: Adaptive lasso; Bayesian information criterion; Oracle properties; Spatial interaction; Variable selection; 62F10; 62F12 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00184-016-0590-z

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