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.2020.08.011OpenAlexW3081082484MaRDI QIDQ1998246FDOQ1998246
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
adaptive Lassocapital mobilitydynamic penalized regressionsparse-Fourier coefficientstime-varying cointegration
Parametric inference (62Fxx) Communication, information (94Axx) Statistical decision theory (62Cxx) Sufficiency and information (62Bxx) Foundational topics in statistics (62Axx)
Cites Work
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- Some Comments on C P
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- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
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- 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
- Testing for two-regime threshold cointegration in vector error-correction models.
- Residual-based tests for cointegration in models with regime shifts
- Threshold Cointegration
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Time-varying cointegration
- Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Feldstein-Horioka meets a time trend
Uses Software
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