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

DOI10.1007/s40300-017-0121-3zbMath1416.62494arXiv1412.5870OpenAlexW2753168477WikidataQ59613460 ScholiaQ59613460MaRDI QIDQ1640650

Hamed Haselimashhadi, Veronica Vinciotti

Publication date: 14 June 2018

Published in: Metron (Search for Journal in Brave)

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

zbMATH Keywords

time serieshigh-dimensional modelspenalized likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to environmental and related topics (62P12)

Related Items (1)

DREGAR

Uses Software

• R
• CRAN

Cites Work

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