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 converging to one. Afterwards, we show that the...

In this paper we introduce a linear programming estimator (LPE) for the slope parameter in a constrained linear regression model with a single regressor. The LPE is interesting because it can be superconsistent in the presence of an endogenous regressor and, hence, preferable to the ordinary...