LASSO estimation of threshold autoregressive models

DOI10.1016/J.JECONOM.2015.03.023MaRDI QIDQ888321zbMATH OpenOpenAlexFDO

Authors Ngai Hang Chan, Chun Yip Yau, Rong-Mao Zhang

Publication date 30 October 2015

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.03.023

zbMATH Keywords

group Lassoinformation criterionleast angle regression (LARS)multiple regimes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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• Testing and Modeling Threshold Autoregressive Processes

Cited in

(34)

• Dynamic panel models with multi-threshold effects and endogeneity
• Asymptotic optimality of the nonnegative garrote estimator in threshold models
• Shrinkage estimation and order selection in threshold autoregressive models via Bayesian empirical likelihood
• When structural break meets threshold effect: factor analysis under structural instabilities
• Generalized threshold latent variable model
• Uncertain Autoregressive Model via LASSO Procedure
• Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
• Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
• Penalized estimation of threshold auto-regressive models with many components and thresholds
• Oracle M-estimation for time series models
• Simulation and application of subsampling for threshold autoregressive moving-average models
• Lasso estimation for spherical autoregressive processes
• Frontiers in time series and financial econometrics: an overview
• Numerical issues in threshold autoregressive modeling of time series
• Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime
• Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
• Multi-threshold proportional hazards model and subgroup identification
• Time-Varying Autoregression with Low-Rank Tensors
• Estimation and model selection based inference in single and multiple threshold models.
• Multi-Threshold Structural Equation Model
• Generalized high-dimensional trace regression via nuclear norm regularization
• Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• Threshold models for high-dimensional time series with network structure
• Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables
• Segment regression model average with multiple threshold variables and multiple structural breaks
• Group fused Lasso for large factor models with multiple structural breaks
• Estimation of multiple-regime threshold autoregressive models with structural breaks
• Coordinate gradient descent algorithm in adaptive LASSO for pure ARCH and pure GARCH models
• Shrinkage estimation of multiple threshold factor models
• Identification of TAR models using recursive estimation
• The Doubly Adaptive LASSO for Vector Autoregressive Models
• Estimation and Inference for Multi-Kink Quantile Regression
• Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models

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