On LASSO for predictive regression (Q2155298)

From MaRDI portal

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	On LASSO for predictive regression	scientific article

Statements

scholarly article

0 references

On LASSO for predictive regression (English)

0 references

10.1016/j.jeconom.2021.02.002

0 references

0 references

0 references

0 references

Journal of Econometrics

0 references

publication date

15 July 2022

0 references

full work available at URL

https://arxiv.org/abs/1810.03140

0 references

Mathematics Subject Classification ID

0 references

0 references

zbMATH DE Number

0 references

zbMATH Keywords

cointegration

0 references

nonstationary time series

0 references

machine learning

0 references

shrinkage estimation

0 references

variable selection

0 references

MaRDI profile type

MaRDI publication profile

0 references

0 references

Spectral analysis of large dimensional random matrices

0 references

Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain

0 references

\(\ell_1\)-penalized quantile regression in high-dimensional sparse models

0 references

Uniformly valid post-regularization confidence regions for many functional parameters in z-estimation framework

0 references

Inference on Treatment Effects after Selection among High-Dimensional Controls

0 references

Uniform post-selection inference for least absolute deviation regression and other Z-estimation problems

0 references

Valid Post-Selection Inference in High-Dimensional Approximately Sparse Quantile Regression Models

0 references

Simultaneous analysis of Lasso and Dantzig selector

0 references

Cointegration in large VARs

0 references

LASSO-TYPE GMM ESTIMATOR

0 references

An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag

0 references

Atomic Decomposition by Basis Pursuit

0 references

0 references

On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots

0 references

Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

0 references

Sure Independence Screening for Ultrahigh Dimensional Feature Space

0 references

Forecasting With Model Uncertainty: Representations and Risk Reduction

0 references

How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation

0 references

Asymptotics for Lasso-type estimators.

0 references

CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS

0 references

Oracle inequalities for high dimensional vector autoregressions

0 references

UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS

0 references

High-dimensional predictive regression in the presence of cointegration

0 references

Predictive quantile regression with persistent covariates: IVX-QR approach

0 references

AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS

0 references

\(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

0 references

LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

0 references

Alternative Asymptotics for Cointegration Tests in Large VARs

0 references

Canonical Cointegrating Regressions

0 references

Time Series Regression with a Unit Root

0 references

Optimal Inference in Cointegrated Systems

0 references

Statistical Inference in Instrumental Variables Regression with I(1) Processes

0 references

Predictive regression under various degrees of persistence and robust long-horizon regression

0 references

Robust econometric inference with mixed integrated and mildly explosive regressors

0 references

BOOSTING: WHY YOU CAN USE THE HP FILTER

0 references

Asymptotics for linear processes

0 references

Empirical Limits for Time Series Econometric Models

0 references

Estimation of Sparse Structural Parameters with Many Endogenous Variables

0 references

Identifying Latent Structures in Panel Data

0 references

0 references

Identifying Cointegration by Eigenanalysis

0 references

The Adaptive Lasso and Its Oracle Properties

0 references

Regularization and Variable Selection Via the Elastic Net

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2155298

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2155298&oldid=36829097"