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stat.ME2025
Autotune: fast, accurate, and automatic tuning parameter selection for Lasso
Tathagata Sadhukhan, Ines Wilms, Stephan Smeekes +1
Least absolute shrinkage and selection operator (Lasso), the popular variable selection engine for high-dimensional regression, is commonly tuned using cross-validation (CV). This…
econ.EM2025
Estimation of Latent Group Structures in Time-Varying Panel Data Models
Paul Haimerl, Stephan Smeekes, Ines Wilms
We consider panel data models where coefficients change smoothly over time and follow a latent group structure, being homogeneous within but heterogeneous across groups. To jointly…