Penalised inference for lagged dependent regression in the presence of autocorrelated residuals

DOI10.1007/S40300-017-0121-3zbMATH Open1416.62494arXiv1412.5870OpenAlexW2753168477WikidataQ59613460 ScholiaQ59613460MaRDI QIDQ1640650FDOQ1640650

Authors: Hamed Haselimashhadi, Veronica Vinciotti 

Publication date: 14 June 2018

Published in: Metron (Search for Journal in Brave)

Abstract: Linear models that contain a time-dependent response and explanatory variables have attracted much interest in recent years. The most general form of the existing approaches is of a linear regression model with autoregressive moving average residuals. The addition of the moving average component results in a complex model with a very challenging implementation. In this paper, we propose to account for the time dependency in the data by explicitly adding autoregressive terms of the response variable in the linear model. In addition, we consider an autoregressive process for the errors in order to capture complex dynamic relationships parsimoniously. To broaden the application of the model, we present an $l_1$ penalized likelihood approach for the estimation of the parameters and show how the adaptive lasso penalties lead to an estimator which enjoys the oracle property. Furthermore, we prove the consistency of the estimators with respect to the mean squared prediction error in high-dimensional settings, an aspect that has not been considered by the existing time-dependent regression models. A simulation study and real data analysis show the successful applications of the model on financial data on stock indexes.

Full work available at URL: https://arxiv.org/abs/1412.5870

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zbMATH Keywords

penalized likelihoodtime serieshigh-dimensional models

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) Applications of statistics to environmental and related topics (62P12)

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Cited In (3)

• A Penalized Framework for Distributed Lag Non-Linear Models
• Effect of autocorrelation when estimating the trend of a time series via penalized least squares with controlled smoothness
• DREGAR

Uses Software

• R
• CRAN

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