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Forecasting using sparse cointegration

Wilms, Ines; Croux, Christophe - In: International journal of forecasting 32 (2016) 4, pp. 1256-1267

Persistent link: https://www.econbiz.de/10011622146

Penalized estimation of panel vector autoregressive models : a panel LASSO approach

Camehl, Annika - In: International journal of forecasting 39 (2023) 3, pp. 1185-1204

Persistent link: https://www.econbiz.de/10014465265

Sparse quantile regression

Chen, Le-Yu; Lee, Sokbae - In: Journal of econometrics 235 (2023) 2, pp. 2195-2217

Persistent link: https://www.econbiz.de/10014471450

Macroeconomic forecasting for Australia using a large number of predictors

Panagiotelis, Anastasios; Athanasopoulos, George; … - In: International journal of forecasting 35 (2019) 2, pp. 616-633

Persistent link: https://www.econbiz.de/10012300705

Forecasting and stress testing with quantile vector autoregression

Chavleishvili, Sulkhan; Manganelli, Simone - 2019

We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...