Adaptive LASSO estimation for ARDL models with GARCH innovations
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Publication:5864640
DOI10.1080/07474938.2017.1307319OpenAlexW2922548130MaRDI QIDQ5864640
Marcelo C. Medeiros, Eduardo F. Mendes
Publication date: 8 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2017.1307319
Related Items (3)
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations ⋮ UNIFORM ASYMPTOTICS AND CONFIDENCE REGIONS BASED ON THE ADAPTIVE LASSO WITH PARTIALLY CONSISTENT TUNING ⋮ Econometric Reviews honors Esfandiar Maasoumi
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