Two-step adaptive model selection for vector autoregressive processes
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Cites work
- A note on adaptive group Lasso
- A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
- A Unified Approach to Identifying Multivariate Time Series Models
- Estimating the dimension of a model
- scientific article; zbMATH DE number 3942850 (Why is no real title available?)
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Least angle regression. (With discussion)
- Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
- Model Selection and Estimation in Regression with Grouped Variables
- Nearly unbiased variable selection under minimax concave penalty
- On the adaptive elastic net with a diverging number of parameters
- Short and long run causality measures: theory and inference
- Short run and long run causality in time series: inference
- Subset selection for vector autoregressive processes using Lasso
- Subset selection for vector autoregressive processes via adaptive Lasso
- The Adaptive Lasso and Its Oracle Properties
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- Vector autoregression and causality: a theoretical overview and simulation study
Cited in
(17)- Subset selection for vector autoregressive processes using Lasso
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Model reduction methods for vector autoregressive processes.
- Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
- On constrained estimation of graphical time series models
- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- VAR forecasting under misspecification
- Model selection for vector autoregressive processes via adaptive lasso
- On multivariate time series model selection involving many candidate VAR models
- The selection of the order and identification of nonzero elements in the polynomial matrices of vector autoregressive processes
- Bayesian variable selection in a large vector autoregression for origin-destination traffic flow modelling
- The Doubly Adaptive LASSO for Vector Autoregressive Models
- High dimensional forecasting via interpretable vector autoregression
- Optimal multistep VAR forecast averaging
- Subset selection for vector autoregressive processes via adaptive Lasso
- Bayesian variable selection for matrix autoregressive models
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
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