Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models
Year of publication: |
2013-10
|
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Authors: | Audrino, Francesco ; Camponovo, Lorenzo |
Institutions: | School of Economics and Political Science, Universität St. Gallen |
Subject: | Adaptive lasso | Time series | Oracle properties | Finite sample inference | Taylor rule monetary policy model |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 1327 30 pages |
Classification: | C12 - Hypothesis Testing ; C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
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Audrino, Francesco, (2013)
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Audrino, Francesco, (2015)
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Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model
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