Adaptive LASSO estimation for ARDL models with GARCH innovations

DOI10.1080/07474938.2017.1307319MaRDI QIDQ5864640zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

shrinkagetime seriesGARCHLASSOsparse modelsARDLadaLASSO

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Adaptive robust variable selection
• Automated estimation of vector error correction models
• Autoregressive process modeling via the Lasso procedure
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
• On the ``degrees of freedom of the lasso
• On uniform deviations of general empirical risks with unboundedness, dependence, and high dimensionality
• Oracle inequalities for high dimensional vector autoregressions
• Regularized estimation in sparse high-dimensional time series models
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• Statistics for high-dimensional data. Methods, theory and applications.
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

Cited in

(6)

• UNIFORM ASYMPTOTICS AND CONFIDENCE REGIONS BASED ON THE ADAPTIVE LASSO WITH PARTIALLY CONSISTENT TUNING
• Machine Learning Time Series Regressions With an Application to Nowcasting
• A note on adaptation in garch models
• Econometric Reviews honors Esfandiar Maasoumi
• Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
• On the adaptive Lasso estimator of AR(\(p\)) time series with applications to INAR(\(p\)) and Hawkes processes

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