High-dimensional predictive regression in the presence of cointegration
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Cites work
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- A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
- An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
- Automated estimation of vector error correction models
- Common risk factors in the returns on stocks and bonds
- Complete subset regressions
- Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
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- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Forecasting Using Principal Components From a Large Number of Predictors
- Handbook of economic forecasting. Volume 1
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
- Regression Shrinkage and Selection via The Lasso: A Retrospective
- Regularization and Variable Selection Via the Elastic Net
- Statistics for high-dimensional data. Methods, theory and applications.
- Structural-break models under mis-specification: implications for forecasting
- Tests of Conditional Predictive Ability
- Weighted sums of certain dependent random variables
Cited in
(17)- On LASSO for predictive regression
- Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King
- Econometric estimation with high-dimensional moment equalities
- Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
- High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting
- Stock return predictability: a factor-augmented predictive regression system with shrinkage method
- Predictive quantile regression with persistent covariates: IVX-QR approach
- 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
- High-dimensional data segmentation in regression settings permitting temporal dependence and non-Gaussianity
- On LASSO for high dimensional predictive regression
- Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review
- LASSO inference for high dimensional predictive regressions
- Determination of the Effective Cointegration Rank in High-Dimensional Time-Series Predictive Regressions
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