Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle

DOI10.1016/J.MATCOM.2020.08.011MaRDI QIDQ1998246OpenAlexFDO

Authors David Neto

Publication date 6 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2020.08.011

zbMATH Keywords

adaptive Lassocapital mobilitydynamic penalized regressionsparse-Fourier coefficientstime-varying cointegration

Mathematics Subject Classification ID

Parametric inference (62Fxx) Communication, information (94Axx) Statistical decision theory (62Cxx) Sufficiency and information (62Bxx) Foundational topics in statistics (62Axx)

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Cites work

• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
• Estimating the dimension of a model
• Feldstein-Horioka meets a time trend
• Residual-based tests for cointegration in models with regime shifts
• Some Comments on C P
• Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
• Testing for two-regime threshold cointegration in vector error-correction models.
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• The Adaptive Lasso and Its Oracle Properties
• Threshold Cointegration
• Time-varying cointegration
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Variable selection using MM algorithms

Describes a project that uses

Uses Software

• ElemStatLearn

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