most citedSquare-root nuclear norm penalized estimator for panel data models with approximately low-rank unobserved heterogeneity

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math.ST2019★ 3 cited

Square-root nuclear norm penalized estimator for panel data models with approximately low-rank unobserved heterogeneity

Jad Beyhum, Eric Gautier

This paper considers a nuclear norm penalized estimator for panel data models with interactive effects. The low-rank interactive effects can be an approximate model and the rank of…

math.ST2018

High-dimensional instrumental variables regression and confidence sets -- v2/2012

Eric Gautier, Alexandre B. Tsybakov

This was a revision of arXiv:1105.2454v1 from 2012. It considers a variation on the STIV estimator where, instead of one conic constraint, there are as many conic constraints as mo…