2 papers
econ.EM2026
Informativeness under Model Uncertainty: Shadow Prices and Ridge Penalties
Jieun Lee, Esfandiar Maasoumi
We develop inference under model uncertainty due to weak, noisy, multiple candidate restrictions and theories, and nuisance control covariates. A unified framework is given with de…
econ.EM2019
Forecasting in Big Data Environments: an Adaptable and Automated Shrinkage Estimation of Neural Networks (AAShNet)
Ali Habibnia, Esfandiar Maasoumi
This paper considers improved forecasting in possibly nonlinear dynamic settings, with high-dimension predictors ("big data" environments). To overcome the curse of dimensionality…