Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports

DOI10.1007/978-3-030-77094-5_44zbMath1495.62101MaRDI QIDQ2086244

Pham Hoang Uyen, Vo Thi Le Uyen, Le Thanh Hoa, Trinh Quoc Trung

Publication date: 25 October 2022

Full work available at URL: https://doi.org/10.1007/978-3-030-77094-5_44

zbMATH Keywords

stationary; GARCH model; Lasso regression; autoregression model; OLS regression

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J07: Ridge regression; shrinkage estimators (Lasso)

Uses Software

• ElemStatLearn
• PMTK

Cites Work

• PMTK