High-dimensional predictive regression in the presence of cointegration
Year of publication: |
2020
|
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Authors: | Koo, Bonsoo ; Anderson, Heather M. ; Seo, Myung Hwan ; Yao, Wenying |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 219.2020, 2, p. 456-477
|
Subject: | Cointegration | High-dimensional predictive regression | LASSO | Return predictability | Regressionsanalyse | Regression analysis | Kointegration | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Theorie | Theory |
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