Variable selection for high-dimensional regression models with time series and heteroscedastic errors
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Publication:2305978
DOI10.1016/j.jeconom.2020.01.009zbMath1456.62140MaRDI QIDQ2305978
Ching-Kang Ing, Hai-Tang Chiou, Mei-Hui Guo
Publication date: 20 March 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.01.009
heteroscedasticity; long-range dependence; orthogonal greedy algorithm; high-dimensional information criterion
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models