ECONOMETRICS Flashcards
1
Q
What does LASSO stand for in econometrics?
A
Least Absolute Shrinkage and Selection Operator.
It was coined by Robert Tibshiriani in 1996 (Pr. of Statistics and Biomedical Data).
2
Q
What is a consistent estimator?
A
An estimator that converges in probability towards the true parameter.
This means that as the sample size increases, the estimates distribution gets more and more concentrated around the true parameter.
