Narrow search
Showing 1 - 10 of 420
Cover Image
Lasso-type and heuristic strategies in model selection and forecasting
Savin, Ivan; Winker, Peter - 2012
popular approaches in this research field is given by Lasso-type methods. An alternative approach is based on information … criteria. In contrast to the Lasso, these methods also work well in the case of highly correlated predictors. However, this …
Persistent link: https://www.econbiz.de/10010291802
Cover Image
l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time …
Persistent link: https://www.econbiz.de/10011807460
Cover Image
Adaptative LASSO estimation for ARDL models with GARCH innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
In this paper we show the validity of the adaptive LASSO procedure in estimating stationary ARDL(p,q) models with GARCH … innovations. We show that, given a set of initial weights, the adaptive Lasso selects the relevant variables with probability … variables beforehand. Finally, we show that the LASSO estimator can be used to construct the initial weights. The performance of …
Persistent link: https://www.econbiz.de/10011807461
Cover Image
A review on variable selection in regression analysis
Desboulets, Loann David Denis - In: Econometrics 6 (2018) 4, pp. 1-27
In this paper, we investigate several variable selection procedures to give an overview of the existing literature for practitioners. 'Let the data speak for themselves' has become the motto of many applied researchers since the number of data has significantly grown. Automatic model selection...
Persistent link: https://www.econbiz.de/10011995233
Cover Image
Financial Services to the Unbanked: the case of the Mzansi intervention in South Africa
Kostov, Philip; Arun, Thankom; Annim, Samuel - In: Contemporary Economics 8 (2014) 2, pp. 191-206
The Mzansi intervention is a major initiative designed to provide banking services to the unbanked South African population. This study investigates the underlying variables that define the choice of a Mzansi account from a consumer perspective. Unlike previous studies, we do not assume that...
Persistent link: https://www.econbiz.de/10010436058
Cover Image
Estimating global bank network connectedness
Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2015
We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top …
Persistent link: https://www.econbiz.de/10011440136
Cover Image
Statistical model selection with "Big Data"
Doornik, Jurgen A.; Hendry, David F. - In: Cogent Economics & Finance 3 (2015) 1, pp. 1-15
Autometrics in that context. Paramount considerations include embedding relationships in general initial models, possibly …
Persistent link: https://www.econbiz.de/10011559165
Cover Image
Improving the teaching of econometrics
Hendry, David F.; Mizon, Grayham E. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-26
Autometrics facilitates both the teaching and the implementation of econometrics, supported by simulation tools to examine …
Persistent link: https://www.econbiz.de/10011559214
Cover Image
Selecting a model for forecasting
Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F. - In: Econometrics 9 (2021) 3, pp. 1-35
We investigate forecasting in models that condition on variables for which future values are unknown. We consider the role of the significance level because it guides the binary decisions whether to include or exclude variables. The analysis is extended by allowing for a structural break, either...
Persistent link: https://www.econbiz.de/10012696331
Cover Image
Detecting location shifts during model selection by step-indicator saturation
Castle, Jennifer L.; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometrics 3 (2015) 2, pp. 240-264
corresponding impulse-indicator saturation (IIS)-based method and the lasso. …
Persistent link: https://www.econbiz.de/10011755280