Penalized estimation of panel vector autoregressive models : a panel LASSO approach
Year of publication: |
2023
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Authors: | Camehl, Annika |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 3, p. 1185-1204
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Subject: | Forecasting | Model selection | Multi-country model | Shrinkage estimation | Sparse estimation | Schätztheorie | Estimation theory | Panel | Panel study | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Modellierung | Scientific modelling | Makroökonometrie | Macroeconometrics | Bayes-Statistik | Bayesian inference |
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