On LASSO for predictive regression
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Publication:2155298
DOI10.1016/J.JECONOM.2021.02.002OpenAlexW3135829188MaRDI QIDQ2155298FDOQ2155298
Authors: Ji Hyung Lee, Zhentao Shi, Zhan Gao 
Publication date: 15 July 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.03140
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Cited In (8)
- On LASSO for high dimensional predictive regression
- Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review
- Title not available (Why is that?)
- Penetrating sporadic return predictability
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Lasso Regression Based on Empirical Mode Decomposition
- Title not available (Why is that?)
- Strong Rules for Discarding Predictors in Lasso-Type Problems
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