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~institution:"School of Economics and Management, University of Aarhus"
~subject:"Adaptive LASSO"
~type:"article"
~type:"book"
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Adaptive LASSO
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model selection
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Kock, Anders Bredahl
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School of Economics and Management, University of Aarhus
Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
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On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions
Kock, Anders Bredahl
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School of Economics and Management, University of Aarhus
-
2012
consistent
model
selection
. We show that if the Adaptive LASSO is tuned to performed conservative
model
selection
it has power …
Persistent link: https://www.econbiz.de/10009652367
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