Penalized Pairwise Difference Estimation for a High-Dimensional Censored Regression Model

Empirical economics employs high-dimensional data more, says research. This article discusses high-dimensional censored linear regression estimation and model selection. A new l1-penalized pairwise difference least absolute deviations (LAD) estimator and a post-penalized estimator that improves convergence rate is proposed. Simulations reveal faster calculation time and good statistical performance for the proposed estimators.

Image courtesy of interviewee. December 20, 2023

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