Ridge regularized estimation of VAR models for inference
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Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Stationary stochastic processes (60G10) Inference from stochastic processes (62Mxx)
Cites work
- scientific article; zbMATH DE number 3874460 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- A cross-validatory method for dependent data
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- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- High-dimensional asymptotics of prediction: ridge regression and classification
- High-dimensional posterior consistency in Bayesian vector autoregressive models
- How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
- Inference in Linear Time Series Models with some Unit Roots
- Length of Confidence Intervals
- Local projections vs. VARs: lessons from thousands of DGPs
- Macroeconomic forecasting in the era of big data. Theory and practice
- One-dimensional inference in autoregressive models with the potential presence of a unit root
- Regression Theory for Near-Integrated Time Series
- Ridge Regularization: An Essential Concept in Data Science
- Structural vector autoregressive analysis
- Surprises in high-dimensional ridgeless least squares interpolation
- The Elements of Statistical Learning
- Time series: theory and methods.
- Uniform Inference in Autoregressive Models
- We modeled long memory with just one lag!
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