Automated estimation of vector error correction models
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Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
Recommendations
- Determination of vector error correction models in high dimensions
- Specification via model selection in vector error correction models
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Statistical inference in vector autoregressions with possibly integrated processes
- Comparison of procedures for fitting the autoregressive order of a vector error correction model
Cites work
- An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
- Asymptotics for linear processes
- Econometric Model Determination
- Fully Modified Least Squares and Vector Autoregression
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Least squares after model selection in high-dimensional sparse models
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Model Selection and Estimation in Regression with Grouped Variables
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
- Optimal Inference in Cointegrated Systems
- Reduced rank regression in cointegrated models.
- Regularized multivariate regression for identifying master predictors with application to integrative genomics study of breast cancer
- Semiparametric cointegrating rank selection
- Sparse estimators and the oracle property, or the return of Hodges' estimator
- Statistical analysis of cointegration vectors
- The Adaptive Lasso and Its Oracle Properties
Cited in
(34)- Shrinkage estimation of dynamic panel data models with interactive fixed effects
- Detecting cointegrating relations in non-stationary matrix-valued time series
- Automated variable selection in vector multiplicative error models
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- Determination of vector error correction models in high dimensions
- Large Spillover Networks of Nonstationary Systems
- General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
- Automated Estimation of Heavy-Tailed Vector Error Correction Models
- Reduced forms and weak instrumentation
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity
- Optimal estimation of cointegrated systems with irrelevant instruments
- Sparse vector error correction models with application to cointegration‐based trading
- Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review
- Inference in heavy-tailed vector error correction models
- On LASSO for predictive regression
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
- Forecasting cointegrated nonstationary time series with time-varying variance
- Inference for the VEC(1) model with a heavy-tailed linear process errors*
- Exponential squared loss based robust variable selection of AR models
- Performance of empirical risk minimization for linear regression with dependent data
- Estimation for double-nonlinear cointegration
- Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Error-correction factor models for high-dimensional cointegrated time series
- Oracle inequalities for high dimensional vector autoregressions
- An automated approach towards sparse single-equation cointegration modelling
- Specification via model selection in vector error correction models
- High-dimensional predictive regression in the presence of cointegration
- \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
- HAC ESTIMATION BY AUTOMATED REGRESSION
- Buffered vector error-correction models: an application to the U.S. Treasury bond rates
- On asymptotic risk of selecting models for possibly nonstationary time-series
- Adaptive LASSO estimation for ARDL models with GARCH innovations
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