High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting

DOI10.5705/SS.202018.0044zbMATH Open1464.62343arXiv1706.07899OpenAlexW2954705210MaRDI QIDQ4986331FDOQ4986331

Ruey S. Tsay, Yuefeng Han

Publication date: 27 April 2021

Published in: STATISTICA SINICA (Search for Journal in Brave)

Abstract: Recent research has focused on $el{l}_1$ penalized least squares (Lasso) estimators for high-dimensional linear regressions in which the number of covariates $p$ is considerably larger than the sample size $n$. However, few studies have examined the properties of the estimators when the errors and/or the covariates are serially dependent. In this study, we investigate the theoretical properties of the Lasso estimator for a linear regression with a random design and weak sparsity under serially dependent and/or nonsubGaussian errors and covariates. In contrast to the traditional case, in which the errors are independent and identically distributed and have finite exponential moments, we show that $p$ can be at most a power of $n$ if the errors have only finite polynomial moments. In addition, the rate of convergence becomes slower owing to the serial dependence in the errors and the covariates. We also consider the sign consistency of the model selection using the Lasso estimator when there are serial correlations in the errors or the covariates, or both. Adopting the framework of a functional dependence measure, we describe how the rates of convergence and the selection consistency of the estimators depend on the dependence measures and moment conditions of the errors and the covariates. Simulation results show that a Lasso regression can be significantly more powerful than a mixed-frequency data sampling regression (MIDAS) and a Dantzig selector in the presence of irrelevant variables. We apply the results obtained for the Lasso method to nowcasting with mixed-frequency data, in which serially correlated errors and a large number of covariates are common. The empirical results show that the Lasso procedure outperforms the MIDAS regression and the autoregressive model with exogenous variables in terms of both forecasting and nowcasting.

Full work available at URL: https://arxiv.org/abs/1706.07899

zbMATH Keywords

Lassomodel selectionconsistencyforecastinghigh-dimensional time seriesnowcastingmixed-frequency data

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cited In (10)

• High-dimensional inference for linear model with correlated errors
• Simultaneous Decorrelation of Matrix Time Series
• High dimensional generalized linear models for temporal dependent data
• Time-varying forecast combination for high-dimensional data
• High-dimensional data segmentation in regression settings permitting temporal dependence and non-Gaussianity
• Finite sample theory for high-dimensional functional/scalar time series with applications
• Comments on ``Data science, big data and statistics
• Change-point inference in high-dimensional regression models under temporal dependence
• Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
• Penalized averaging of parametric and non-parametric quantile forecasts

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