Advanced Econometrics: Model Selection

By arthur charpentier

(This article was first published on R-english – Freakonometrics, and kindly contributed to R-bloggers)

On Thursday, March 23rd, I will give the third lecture of the PhD course on advanced tools for econometrics, on model selection and variable selection, where we will focus on ridge and lasso regressions . Slides are available online.

The first part was on on Nonlinearities in Econometric models, and the second one on Simulations.

To leave a comment for the author, please follow the link and comment on their blog: R-english – Freakonometrics.

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