An Automated Approach Towards Sparse Single-Equation Cointegration Modelling

DOI10.48550/arXiv.1809.08889zbMath1464.62392arXiv1809.08889OpenAlexW3047253022MaRDI QIDQ136150

Stephan Smeekes, Etienne Wijler, Stephan Smeekes, Etienne Wijler

Publication date: 24 September 2018

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

Full work available at URL: https://arxiv.org/abs/1809.08889

zbMATH Keywords

cointegrationhigh-dimensional datapenalized regressionsingle-equation error-correction modelSPECS

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity, specs

Uses Software

• fpp2

Cites Work

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