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L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271
Persistent link: https://www.econbiz.de/10011598121
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Adaptive LASSO estimation for ARDL models with GARCH innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Econometric reviews 36 (2017) 6/9, pp. 622-637
Persistent link: https://www.econbiz.de/10011795298
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Machine learning advances for time series forecasting
Masini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of economic surveys 37 (2023) 1, pp. 76-111
Persistent link: https://www.econbiz.de/10014287800
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Forecasting with machine learning methods
Medeiros, Marcelo C. - In: Econometrics with Machine Learning, (pp. 111-149). 2022
Persistent link: https://www.econbiz.de/10013447825
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Asymptotic theory for regressions with smoothly changing parameters
Hillebrand, Eric; Medeiros, Marcelo C.; Xu, Junyue - In: Journal of time series econometrics 5 (2013) 2, pp. 133-162
Persistent link: https://www.econbiz.de/10010225454
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Counterfactual analysis and inference with nonstationary data
Masini, Ricardo; Medeiros, Marcelo C. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 227-239
Persistent link: https://www.econbiz.de/10012804103
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Forecasting macroeconomic variables in data-rich environments
Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R. - In: Economics letters 138 (2016), pp. 50-52
Persistent link: https://www.econbiz.de/10011615474
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A smooth transition finite mixture model for accommodating unobserved heterogeneity
Kappe, Eelco; DeSarbo, Wayne; Medeiros, Marcelo C. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 580-592
Persistent link: https://www.econbiz.de/10012262497
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Nonlinearity, breaks, and long-range dependence in time-series models
Hillebrand, Eric; Medeiros, Marcelo C. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 23-41
Persistent link: https://www.econbiz.de/10011691143
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Modeling and forecasting large realized covariance matrices and portfolio choice
Callot, Laurent A. F.; Kock, Anders Bredahl; Medeiros, … - In: Journal of applied econometrics 32 (2017) 1, pp. 140-158
Persistent link: https://www.econbiz.de/10011688494