On LASSO for predictive regression
Year of publication: |
2022
|
---|---|
Authors: | Lee, Ji Hyung ; Shi, Zhentao ; Gao, Zhan |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 229.2022, 2, p. 322-349
|
Subject: | Cointegration | Machine learning | Nonstationary time series | Shrinkage estimation | Variable selection | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Kointegration | Künstliche Intelligenz | Artificial intelligence |
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