User’s Guide : Basic Single Equation Analysis : Regression Variable Selection : References
  
References
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Friedman, J., Hastie, T., & Tibshirani, R. (2001). The Elements of Statistical Learning (Vol. 1, No. 10). New York: Springer Series in Statistics.
Friedman, J., Hastie, T., & Tibshirani, R. (2010). Regularization paths for generalized linear models via coordinate descent. Journal of Statistical Software, 33(1), 1.
Hastie, T., Tibshirani, R., & Wainwright, M. (2015). Statistical learning with sparsity: the lasso and generalizations. CRC press.
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Hurvich, C. M. and C. L. Tsai (1990). “The Impact of Model Selection on Inference in Linear Regression,” American Statistician, 44, 214–217.
Roecker, E. B. (1991). “Prediction Error and its Estimation for Subset-Selection Models,” Technometrics, 33, 459–469.
Uniejewski B., Nowotarski, J., and Weron, R (2016) “Automated variable selection and shrinkage for day-ahead electricity price forecasting,” mimeo.
Zou, H., & Hastie, T. (2005). Regularization and variable selection via the elastic net. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 67(2), 301-320.