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 …
