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 …

absolute shrinkage and selection operator (lasso) which should identify the aforementioned model. We prove that the lasso …. The HAR model is not recovered by the lasso on real data. This, together with an empirical out-of-sample analysis that … shows equal performance of the HAR model and the lasso approach, leads to the conclusion that the HAR model may not be the …

This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and heuristic … subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In particular …, inconsistent results are obtained for pairwise strongly correlated predictors. An alternative to the Lasso is constituted by model …