Callot, Laurent; Kristensen, Johannes Tang - School of Economics and Management, University of Aarhus - 2014
parameters with the Lasso and the adaptive Lasso. The parsimonious random walk allows the parameters to be modelled non … randomly.We characterize the finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction … probability tending to one.We also provide conditions under which the adaptive Lasso is able to achieve perfectmodel selection. We …