Time-varying Lasso
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Publication:1787675
DOI10.1016/J.ECONLET.2018.04.029zbMATH Open1401.62115OpenAlexW2800769252MaRDI QIDQ1787675FDOQ1787675
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
Recommendations
Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)
Cites Work
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- Least angle regression. (With discussion)
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- Inference on stochastic time-varying coefficient models
- The Lasso for High Dimensional Regression with a Possible Change Point
- Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
Cited In (15)
- Hierarchical shrinkage in time-varying parameter models
- Learning and estimation applications of an online homotopy algorithm for a generalization of the LASSO
- Modified LASSO estimators for time series regression models with dependent disturbances
- Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
- Time-varying sparsity in dynamic regression models
- Lag weighted lasso for time series model
- Large time-varying parameter VARs
- Using Lasso-family models to estimate the impact of monetary policy on corporate investments
- Lasso-type penalties for covariate selection and forecasting in time series
- Autoregressive process modeling via the Lasso procedure
- Variable selection in high dimensional linear regressions with parameter instability
- Lasso-driven inference in time and space
- Smoothing \(\ell_1\)-penalized estimators for high-dimensional time-course data
- \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
- Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports
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