Model selection for unit-root time series with many predictors
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Cites work
- \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
- A note on mean-squared prediction errors of the least squares predictors in random walk models
- A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
- A stepwise regression method and consistent model selection for highdimensional sparse linear models
- Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
- An Asymptotic Result for the Finite Predictor.
- Asymptotic properties of projections with applications to stochastic regression problems
- Boosting for high-dimensional linear models
- Business cycles, financial cycles and capital structure
- COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?
- Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
- Consistent order selection for ARFIMA processes
- Estimation of inverse autocovariance matrices for long memory processes
- Forecasting the U.S. Unemployment Rate
- Forward regression for ultra-high dimensional variable screening
- FRED-MD: A Monthly Database for Macroeconomic Research
- Greed is Good: Algorithmic Results for Sparse Approximation
- Group Lasso for structural break time series
- High dimensional thresholded regression and shrinkage effect
- High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting
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- Limiting distributions of least squares estimates of unstable autoregressive processes
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Model selection for high-dimensional linear regression with dependent observations
- Model selection for integrated autoregressive processes of infinite order
- Modelling cycles in climate series: the fractional sinusoidal waveform process
- Nearly unbiased variable selection under minimax concave penalty
- On cointegration for processes integrated at different frequencies
- On LASSO for predictive regression
- On predictive least squares principles
- Order selection in nonstationary autoregressive models
- Prediction errors in nonstationary autoregressions of infinite order
- Predictor selection for positive autoregressive processes
- Simultaneous analysis of Lasso and Dantzig selector
- Stationarity and the existence of moments of a family of GARCH processes.
- Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
- Testing for parameter instability in predictive regression models
- The Adaptive Lasso and Its Oracle Properties
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- Unemployment and entrepreneurship: a cyclical relation?
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