\(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

DOI10.1016/j.jeconom.2015.10.011zbMath1390.62179MaRDI QIDQ898600

Marcelo C. Medeiros, Eduardo F. Mendes

Publication date: 18 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.10.011

zbMATH Keywords

time series; GARCH; forecasting; shrinkage; LASSO; AdaLASSO; sparse models

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J07: Ridge regression; shrinkage estimators (Lasso)

91B84: Economic time series analysis

Related Items

Oracle M‐Estimation for Time Series Models, Variable screening for high dimensional time series

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Regularized estimation in sparse high-dimensional time series models
• The Adaptive Lasso and Its Oracle Properties
• Sparse estimators and the oracle property, or the return of Hodges' estimator
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• Oracle inequalities for high dimensional vector autoregressions
• Statistics for high-dimensional data. Methods, theory and applications.
• Autoregressive process modeling via the Lasso procedure
• Lasso-type recovery of sparse representations for high-dimensional data
• Subset selection for vector autoregressive processes using Lasso
• Properties of moments of a family of GARCH processes
• Stationarity and the existence of moments of a family of GARCH processes.
• Least angle regression. (With discussion)
• On the conditions used to prove oracle results for the Lasso
• Sparsity considerations for dependent variables
• Simultaneous analysis of Lasso and Dantzig selector
• Adaptive robust variable selection
• On the ``degrees of freedom of the lasso
• Strong oracle optimality of folded concave penalized estimation
• A panel data approach to economic forecasting: the bias-corrected average forecast
• Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Forecasting Using Principal Components From a Large Number of Predictors
• A SIMPLE VARIABLE SELECTION TECHNIQUE FOR NONLINEAR MODELS
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Regularization Parameter Selections via Generalized Information Criterion
• AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
• Determining the Number of Factors in Approximate Factor Models
• Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics