Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator

Liqian Cai (), Arnab Bhattacharjee, Roger Calantone and Taps Maiti
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Liqian Cai: Michigan State University
Roger Calantone: Michigan State University
Taps Maiti: Michigan State University

Sankhya B: The Indian Journal of Statistics, 2019, vol. 81, issue 1, No 6, 146-200

Abstract: Abstract We propose generalized moments LASSO estimator, combining LASSO with GMM, for penalized variable selection and estimation under the spatial error model with spatially autoregressive errors. We establish parameter consistency and selection sign consistency of the proposed estimator in the low dimensional setting when the parameter dimension p

Keywords: LASSO; GMM; Spatial autoregressive errors; Hedonic house price models.; C32; C52; R31 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s13571-018-0176-z

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