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Single-index-based CoVaR with very high-dimensional covariates
Fan, Yan; Härdle, Wolfgang; Wang, Weining; Zhu, Lixing - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 212-226
Persistent link: https://www.econbiz.de/10011894611
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TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang; Sirotko-Sibirskaya, Natalia; Wang, … - 2014
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10010428185
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TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang; Wang, Weining; Yu, Lining - In: Journal of econometrics 192 (2016) 2, pp. 499-513
Persistent link: https://www.econbiz.de/10011704738
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Machine learning for regularized survey forecast combination : partially-egalitarian LASSO and its derivatives
Diebold, Francis X.; Shin, Minchul - In: International journal of forecasting 35 (2019) 4, pp. 1679-1691
Persistent link: https://www.econbiz.de/10012305515
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Regression quantiles under heteroscedasticity and multicollinearity : analysis of travel and tourism competitiveness
Kalina, Jan; Vašaničová, Petra; Litavcová, Eva - In: Ekonomický časopis : časopis pre ekonomickú … 67 (2019) 1, pp. 69-85
Persistent link: https://www.econbiz.de/10012149863
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LASSO-type penalization in the framework of generalized additive models for location, scale and shape
Groll, Andreas; Hambuckers, Julien; Kneib, Thomas; … - 2018
options are provided: the conventional least absolute shrinkage and selection operator (LASSO) for metric covariates, and both … group and fused LASSO for categorical predictors. The methods are investigated both for simulated data and for two real data …
Persistent link: https://www.econbiz.de/10011899137
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Sparse models and methods for optimal instruments with an application to eminent domain
Belloni, A.; Chen, D.; Chernozhukov, Victor; Hansen, … - 2010
We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal … provide conditions under which these estimators are asymptotically oracle-efficient. In simulation experiments, the LASSO …. In an empirical example dealing with the effect of judicial eminent domain decisions on economic outcomes, the LASSO …
Persistent link: https://www.econbiz.de/10008695561
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Forecasting the distribution of economic variables in a data-rich environment
Manzan, Sebastiano - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 144-164
Persistent link: https://www.econbiz.de/10011389997
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Program evaluation with high-dimensional data
Belloni, Alexandre; Chernozhukov, Victor; … - 2015 - This version: September 20, 2015
In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment,...
Persistent link: https://www.econbiz.de/10011337681
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Sparse models and methods for optimal instruments with an application to eminent domain
Belloni, Alexandre; Chen, Daniel L.; Chernozhukov, Victor; … - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 6, pp. 2369-2429
Persistent link: https://www.econbiz.de/10009689519