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

Liqian Cai, Arnab Bhattacharjee, Roger Calantone, Tapabrata Maiti

Research output: Contribution to journalArticle

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 < sample size n , as well as the high dimensional setting with p greater than and growing with n. Finite sample performance of the method is examined by simulation, compared against the LASSO for IID data. The methods are applied to estimation of a spatial Durbin model for the Aveiro housing market (Portugal).
Original languageEnglish
Pages (from-to)1-55
Number of pages55
JournalSankhya B
Early online date6 Nov 2018
DOIs
Publication statusE-pub ahead of print - 6 Nov 2018

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Spatial Model
Variable Selection
Moment
Estimator
Error Model
Sample Size
High-dimensional
Simulation
Market

Cite this

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title = "Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO estimator",
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 < sample size n , as well as the high dimensional setting with p greater than and growing with n. Finite sample performance of the method is examined by simulation, compared against the LASSO for IID data. The methods are applied to estimation of a spatial Durbin model for the Aveiro housing market (Portugal).",
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Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO estimator. / Cai, Liqian; Bhattacharjee, Arnab; Calantone, Roger; Maiti, Tapabrata.

In: Sankhya B, 06.11.2018, p. 1-55.

Research output: Contribution to journalArticle

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