Audrino, Francesco; Camponovo, Lorenzo - School of Economics and Political Science, Universität … - 2013
valid finite sample inference in one step. Moreover, we analytically derive a bias correction factor that is able to … (adaptive lasso) for time series regression models. In particular we investigate the question of how to conduct finite sample … inference on the parameters given an adaptive lasso model for some fixed value of the shrinkage parameter. Central in this study …