Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach

DOI10.1016/J.JECONOM.2022.11.006arXiv2101.11568MaRDI QIDQ6090583

Youngki Shin, Rui Fan, Ji Hyung Lee

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.11568

zbMATH Keywords

quantile regressioncointegrationforecastingoracle propertyadaptive LASSO

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

On LASSO for high dimensional predictive regression

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