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convex_prog_in_econometrics's Introduction

Welcome to my Github profile page 👋

I am a Ph.D. student in the Department of Economics, University of Southern California. My research interests are mainly in econometrics.

🔭 I’m currently working on high-dimensional predictive regression models, random coefficient models and panel data models with grouped heterogeneity. Feel free to check my research profile and CV out.

🌱 I'm a R user and maintaining classo and LasForecast.

💬 zhangao [at] usc [dot] edu

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convex_prog_in_econometrics's Issues

Empty results in the lasso_mosek

Hi Zhan Gao,

I was trying to run the lasso_mosek.R, but the final estimates a (i.e., ahat) and b (i.e., bhat) are empty. Is there any way you could check and fix that? I am not familiar with the MOSEK in R and I failed to debug it.

There is one more question: why did you use the formula log(p+1)/sqrt(n) to determine the lambda here? It seems that it is different from the paper Koenker and Mizera 2014, JSS. Thanks for your great work.

Best wishes,
Sheng

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