Testing a single regression coefficient in high dimensional linear models

Wei Lan; Ping-Shou Zhong; Runze Li; Hansheng Wang; Chih‐Ling Tsai

doi:10.1016/j.jeconom.2016.05.016

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Testing a single regression coefficient in high dimensional linear models

Wei Lan Ping-Shou Zhong Runze Li Hansheng Wang Chih‐Ling Tsai

Year: 2016 Journal: Journal of Econometrics Vol: 195 (1)Pages: 154-168 Publisher: Elsevier BV

DOI: 10.1016/j.jeconom.2016.05.016

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Keywords:

Covariate Heteroscedasticity Mathematics Statistics Estimator Linear regression Ordinary least squares Statistical hypothesis testing Sample size determination Regression analysis Multiple comparisons problem Econometrics

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Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Advanced Statistical Methods and Models

Physical Sciences → Mathematics → Statistics and Probability

Statistical Methods and Bayesian Inference

Physical Sciences → Mathematics → Statistics and Probability

Testing a single regression coefficient in high dimensional linear models

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