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regular case. We propose to estimate such models by the adaptive lasso maximum likelihood and propose an information criterion …
Persistent link: https://www.econbiz.de/10011995209
A copula model with flexibly specified dependence structure can be useful to capture the complexity and heterogeneity in economic and financial time series. However, there exists little methodological guidance for the specification process using copulas. This paper contributes to fill this gap...
Persistent link: https://www.econbiz.de/10012433212
A new regularization method for regression models is proposed. The criterion to be minimized contains a penalty term which explicitly links strength of penalization to the correlation between predictors. As the elastic net, the method encourages a grouping effect where strongly correlated...
Persistent link: https://www.econbiz.de/10010266210
, four regularization techniques— the Standard lasso, Adaptive lasso, the minimum Schwarz Bayesian information criterion … lasso, and the Elasticnet are trained based on a dataset containing 86 covariates of financial development for the period … literacy are crucial for financial sector development in Africa. Evidence from the Partialing-out lasso instrumental variable …
Persistent link: https://www.econbiz.de/10012662262
, four regularization techniques- the Standard lasso, Adaptive lasso, the minimum Schwarz Bayesian information criterion … lasso, and the Elasticnet are trained based on a dataset containing 86 covariates of financial development for the period … literacy are crucial for financial sector development in Africa. Evidence from the Partialing-out lasso instrumental variable …
Persistent link: https://www.econbiz.de/10012801040
The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection...
Persistent link: https://www.econbiz.de/10010292498
This paper considers factor forecasting with national versus factor forecasting withinternational data. We forecast German GDP based on a large set of about 500 time series, consisting of German data as well as data from Euro-area and G7 countries. For factor estimation, we consider standard...
Persistent link: https://www.econbiz.de/10010298757
Child birth leads to a break in a woman's employment history and is considered one reason for the relatively poor labor market outcomes observed for women compared to men. However, the time spent at home after child birth varies significantly across mothers and is likely driven by observed and,...
Persistent link: https://www.econbiz.de/10011310789
Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...
Persistent link: https://www.econbiz.de/10010325783
This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...
Persistent link: https://www.econbiz.de/10010326025