Economics External Seminar: Demian Pouzo (Berkeley)
Demian Pouzo (Berkeley)
1B6 Priory Road Complex
Title: “Towards a General Large Sample Theory for Regularized Estimators " with Michael Jansson.
Abstract: We present a general framework for studying regularized estimators; such estimators are pervasive in estimation problems wherein “plug-in" type estimators are either ill-defined or ill-behaved. Within this framework, we derive, under primitive conditions, consistency and a generalization of the property of asymptotic linearity. We also provide data-driven methods for choosing tuning parameters that, under some conditions, achieve the aforementioned properties. We illustrate the scope of our approach by studying a wide range of applications, revisiting known results and deriving new ones.