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Oracle Inequalities for High Dimensional Vector Autoregressions

Kock, Anders Bredahl; Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2012

This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger order of...

Persistent link: https://www.econbiz.de/10010851258

Oracle Inequalities for Convex Loss Functions with Non-Linear Targets

Caner, Mehmet; Kock, Anders Bredahl - School of Economics and Management, University of Aarhus - 2013

This paper consider penalized empirical loss minimization of convex loss functions with unknown non-linear target functions. Using the elastic net penalty we establish a finite sample oracle inequality which bounds the loss of our estimator from above with high probability. If the unknown target...

Persistent link: https://www.econbiz.de/10010851265

Oracle inequalities for high-dimensional panel data models

Kock, Anders Bredahl - School of Economics and Management, University of Aarhus - 2013

This paper is concerned with high-dimensional panel data models where the number of regressors can be much larger than the sample size. Under the assumption that the true parameter vector is sparse we establish finite sample upper bounds on the estimation error of the Lasso under two different...

Persistent link: https://www.econbiz.de/10010851282

Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search

Grassi, Stefano; Proietti, Tommaso - School of Economics and Management, University of Aarhus - 2011

An important issue in modelling economic time series is whether key unobserved components representing trends, seasonality and calendar components, are deterministic or evolutive. We address it by applying a recently proposed Bayesian variable selection methodology to an encompassing linear...

Persistent link: https://www.econbiz.de/10009293967

Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models

Kock, Anders Bredahl - School of Economics and Management, University of Aarhus - 2010

This paper generalizes the results for the Bridge estimator of Huang et al. (2008) to linear random and fixed effects panel data models which are allowed to grow in both dimensions. In particular, we show that the Bridge estimator is oracle efficient. It can correctly distinguish between...

Persistent link: https://www.econbiz.de/10008525438

Characterizing economic trends by Bayesian stochastic model specification search

Grassi, Stefano; Proietti, Tommaso - School of Economics and Management, University of Aarhus - 2011

We extend a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. In particular, we focus on autoregressive models with possibly time-varying intercept and slope and decide on...

Persistent link: https://www.econbiz.de/10009020199

Bayesian stochastic model specification search for seasonal and calendar effects

Grassi, Stefano; Proietti, Tommaso - School of Economics and Management, University of Aarhus - 2011

We extend a recent methodology, Bayesian stochastic model specification search (SMSS), for the selection of the unobserved components (level, slope, seasonal cycles, trading days effects) that are stochastically evolving over time. SMSS hinges on two basic ingredients: the non-centered...

Persistent link: https://www.econbiz.de/10008854104

On the Selection of Common Factors for Macroeconomic Forecasting

Giovannelli, Alessandro; Proietti, Tommaso - School of Economics and Management, University of Aarhus - 2014

economic forecasting using diffusion indexes the factors are ordered, according to their importance, in terms of relative … performances of these methods with the classical diffusion index (DI) approach proposed by Stock and Watson, conducting a pseudo …

Persistent link: https://www.econbiz.de/10011084734

Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2007

A nonparametric kernel estimator of the drift (diffusion) term in a diffusion model are developed given a preliminary … parametric estimator of the diffusion (drift) term. Under regularity conditions, rates of convergence and asymptotic normality of … the nonparametric estimators are established. We develop mis- specification tests of parametric diffusion models based on …

Persistent link: https://www.econbiz.de/10005787561

Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2007

A kernel weighted version of the standard realised integrated volatility es- timator is proposed. By different choices of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In particular, as the bandwidth vanishes, an estimator of the...

Persistent link: https://www.econbiz.de/10005198857