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Diffusion Indexes with Sparse Loadings
Kristensen, Johannes Tang - School of Economics and Management, University of Aarhus - 2013
The use of large-dimensional factor models in forecasting has received much attention in the literature with the … model which is better suited for forecasting compared to the traditional principal components (PC) approach.We provide an … asymptotic analysis of the estimator and illustrate its merits empirically in a forecasting experiment based on US macroeconomic …
Persistent link: https://www.econbiz.de/10010851192
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Estimating High-Dimensional Time Series Models
Medeiros, Marcelo C.; Mendes, Eduardo F. - School of Economics and Management, University of Aarhus - 2012
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume both the number of covariates in the model and candidate variables can increase with the number of observations and the number of candidate variables is,...
Persistent link: https://www.econbiz.de/10010851219