Time-varying Lasso

DOI10.1016/J.ECONLET.2018.04.029MaRDI QIDQ1787675zbMATH OpenOpenAlexFDO

Authors George Kapetanios, Filip Zikes

Publication date 5 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://kclpure.kcl.ac.uk/portal/en/publications/timevarying-lasso(09ae7a40-20cd-44c6-8804-4323e5058cd3).html

zbMATH Keywords

Lassolarge datasetsstructural changepenalised regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

• Inference of time-varying regression models
• Hierarchical shrinkage in time-varying parameter models
• Autoregressive process modeling via the Lasso procedure
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
• Large time-varying parameter VARs

Cites work

• scientific article; zbMATH DE number 88844 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A unified approach to model selection and sparse recovery using regularized least squares
• Asymptotics for Lasso-type estimators.
• Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
• Inference on stochastic time-varying coefficient models
• Least angle regression. (With discussion)
• Regularization and Variable Selection Via the Elastic Net
• Regularization of Wavelet Approximations
• Simultaneous analysis of Lasso and Dantzig selector
• Statistics for high-dimensional data. Methods, theory and applications.
• The Lasso for high dimensional regression with a possible change point
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(15)

• Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
• Autoregressive process modeling via the Lasso procedure
• Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports
• Modified LASSO estimators for time series regression models with dependent disturbances
• Lasso-driven inference in time and space
• Hierarchical shrinkage in time-varying parameter models
• Smoothing \(\ell_1\)-penalized estimators for high-dimensional time-course data
• Lag weighted lasso for time series model
• Lasso-type penalties for covariate selection and forecasting in time series
• Using Lasso-family models to estimate the impact of monetary policy on corporate investments
• Time-varying sparsity in dynamic regression models
• Learning and estimation applications of an online homotopy algorithm for a generalization of the LASSO
• Large time-varying parameter VARs
• Variable selection in high dimensional linear regressions with parameter instability

Describes a project that uses

Uses Software

• glmnet

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