Variable Selection of High-Dimensional Spatial Autoregressive Panel Models with Fixed Effects
This paper studies the variable selection of high-dimensional spatial autoregressive panel models with fixed effects in which a matrix transformation method is applied to eliminate the fixed effects. Then, a penalized quasi-maximum likelihood is developed for variable selection and parameter estimat...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2023-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2023/9837117 |
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| _version_ | 1832546774417408000 |
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| author | Miaojie Xia Yuqi Zhang Ruiqin Tian |
| author_facet | Miaojie Xia Yuqi Zhang Ruiqin Tian |
| author_sort | Miaojie Xia |
| collection | DOAJ |
| description | This paper studies the variable selection of high-dimensional spatial autoregressive panel models with fixed effects in which a matrix transformation method is applied to eliminate the fixed effects. Then, a penalized quasi-maximum likelihood is developed for variable selection and parameter estimation in the transformed panel model. Under some regular conditions, the consistency and oracle properties of the proposed estimator are established. Some Monte-Carlo experiments and a real data analysis are conducted to examine the finite sample performance of the proposed variable selection procedure, showing that the proposed variable selection method works satisfactorily. |
| format | Article |
| id | doaj-art-e933fa6ea9c2424c9b5909cb55ac13c2 |
| institution | Kabale University |
| issn | 2314-4785 |
| language | English |
| publishDate | 2023-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Mathematics |
| spelling | doaj-art-e933fa6ea9c2424c9b5909cb55ac13c22025-02-03T06:47:21ZengWileyJournal of Mathematics2314-47852023-01-01202310.1155/2023/9837117Variable Selection of High-Dimensional Spatial Autoregressive Panel Models with Fixed EffectsMiaojie Xia0Yuqi Zhang1Ruiqin Tian2School of MathematicsSchool of MathematicsSchool of MathematicsThis paper studies the variable selection of high-dimensional spatial autoregressive panel models with fixed effects in which a matrix transformation method is applied to eliminate the fixed effects. Then, a penalized quasi-maximum likelihood is developed for variable selection and parameter estimation in the transformed panel model. Under some regular conditions, the consistency and oracle properties of the proposed estimator are established. Some Monte-Carlo experiments and a real data analysis are conducted to examine the finite sample performance of the proposed variable selection procedure, showing that the proposed variable selection method works satisfactorily.http://dx.doi.org/10.1155/2023/9837117 |
| spellingShingle | Miaojie Xia Yuqi Zhang Ruiqin Tian Variable Selection of High-Dimensional Spatial Autoregressive Panel Models with Fixed Effects Journal of Mathematics |
| title | Variable Selection of High-Dimensional Spatial Autoregressive Panel Models with Fixed Effects |
| title_full | Variable Selection of High-Dimensional Spatial Autoregressive Panel Models with Fixed Effects |
| title_fullStr | Variable Selection of High-Dimensional Spatial Autoregressive Panel Models with Fixed Effects |
| title_full_unstemmed | Variable Selection of High-Dimensional Spatial Autoregressive Panel Models with Fixed Effects |
| title_short | Variable Selection of High-Dimensional Spatial Autoregressive Panel Models with Fixed Effects |
| title_sort | variable selection of high dimensional spatial autoregressive panel models with fixed effects |
| url | http://dx.doi.org/10.1155/2023/9837117 |
| work_keys_str_mv | AT miaojiexia variableselectionofhighdimensionalspatialautoregressivepanelmodelswithfixedeffects AT yuqizhang variableselectionofhighdimensionalspatialautoregressivepanelmodelswithfixedeffects AT ruiqintian variableselectionofhighdimensionalspatialautoregressivepanelmodelswithfixedeffects |