Oracle properties, bias correction, and bootstrap inference for adaptive lasso for time series M-estimators

DOI10.1111/JTSA.12270MaRDI QIDQ4606958zbMATH OpenOpenAlexFDO

Authors Francesco Audrino, Lorenzo Camponovo

Publication date 9 March 2018

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.1473

zbMATH Keywords

bootstrap inferencebias correctionadaptive LassoTaylor ruleoracle propertiesmonetary policy model

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Economic time series analysis (91B84)

Abstract: We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particular, we investigate the question of how to conduct finite sample inference on the parameters given an adaptive lasso model for some fixed value of the shrinkage parameter. Central in this study is the test of the hypothesis that a given adaptive lasso parameter equals zero, which therefore tests for a false positive. To this end we construct a simple testing procedure and show, theoretically and empirically through extensive Monte Carlo simulations, that the adaptive lasso combines efficient parameter estimation, variable selection, and valid finite sample inference in one step. Moreover, we analytically derive a bias correction factor that is able to significantly improve the empirical coverage of the test on the active variables. Finally, we apply the introduced testing procedure to investigate the relation between the short rate dynamics and the economy, thereby providing a statistical foundation (from a model choice perspective) to the classic Taylor rule monetary policy model.

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(5)

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• Adaptive Lasso for vector multiplicative error models
• Penalized averaging of parametric and non-parametric quantile forecasts
• Flexible HAR model for realized volatility

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