High-dimensional predictive regression in the presence of cointegration
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Publication:2224889
DOI10.1016/J.JECONOM.2020.03.011zbMath1464.62515OpenAlexW2547402097MaRDI QIDQ2224889
Publication date: 4 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.03.011
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)
Related Items (7)
On LASSO for predictive regression ⋮ Forecasting vector autoregressions with mixed roots in the vicinity of unity ⋮ Penetrating sporadic return predictability ⋮ Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach ⋮ Forward-selected panel data approach for program evaluation ⋮ Semi-parametric single-index predictive regression models with cointegrated regressors ⋮ Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King
Uses Software
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