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A comparative study of the Lasso-type and heuristic model selection methods
Savin, Ivan - COMISEF - 2010
This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and heuristic … subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In particular …, inconsistent results are obtained for pairwise strongly correlated predictors. An alternative to the Lasso is constituted by model …
Persistent link: https://www.econbiz.de/10008483960
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Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance
Savin, Ivan; Winker, Peter - COMISEF - 2010
Innovations, be they radical new products or technology improvements are widely recognized as a key factor of economic growth. To identify the factors triggering innovative activities is a main concern for economic theory and empirical analysis. As the number of hypotheses is large, the process...
Persistent link: https://www.econbiz.de/10008629502
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Heuristic Strategies in Finance – An Overview
Lyra, Marianna - COMISEF - 2010
This paper presents a survey on the application of heuristic optimization techniques in the broad field of finance. Heuristic algorithms have been extensively used to tackle complex financial problems, which traditional optimization techniques cannot efficiently solve. Heuristic optimization...
Persistent link: https://www.econbiz.de/10008642860
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Heuristic model selection for leading indicators in Russia and Germany
Savin, Ivan; Winker, Peter - COMISEF - 2011
Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified...
Persistent link: https://www.econbiz.de/10008800899