operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The …

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 …

autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong …