发表期刊：Australian & New Zealand Journal of Statistics
发表时间：First published: 15 February 2023
作者及单位：XiaolingMei1, Bin Peng2, Huanjun Zhu3,*
1 Department of Finance, School of Economics (SOE), Wang Yanan Institute for Studies in Economics(WISE), Xiamen University, Fujian 361005, China.
2 Department of Econometrics and Business Statistics, Monash University, VIC 3145, Australia.
3 Wang Yanan Institute for Studies in Economics (WISE), Department of Statistics & Data Science, School of Economics (SOE), MOE Key Laboratory of Econometrics, and Fujian Key Laboratory of Statistical Science, Xiamen University, Fujian, China, 361005.
摘要：This paper studies the Bridge estimator for a high-dimensional panel data model with heterogeneous varying coefficients, where the random errors are assumed to be serially correlated and cross-sectionally dependent. We establish oracle efficiency and the asymptotic distribution of the Bridge estimator, when the number of covariates increases to infinity with the sample size in both dimensions. A BIC-type criterion is also provided for tuning parameter selection. We further generalise the marginal Bridge estimator for our model to asymptotically correctly identify the covariates with zero coefficients even when the number of covariates is greater than the sample size under a partial orthogonality condition.The finite sample performance of the proposed estimator is demonstrated by simulated data examples, and an empirical application with the US stock dataset is also provided.
关键词：the Bridge estimator; cross-sectional dependence; heterogeneous coefficients; high-dimensional models; oracle efficiency; panel data
