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Model selection in under-specified equations facing breaks
Castle, Jennifer; Hendry, David F. - In: Journal of econometrics 178 (2014) 1, pp. 286-293
Persistent link: https://www.econbiz.de/10010256158
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Detecting location shifts during model selection by step-indicator saturation
Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometrics : open access journal 3 (2015) 2, pp. 240-264
corresponding impulse-indicator saturation (IIS)-based method and the lasso. …
Persistent link: https://www.econbiz.de/10011297656
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Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
Ericsson, Neil R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 377-398
Persistent link: https://www.econbiz.de/10011649116
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Shrinkage estimation of high-dimensional factor models with structural instabilities
Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank - In: The review of economic studies 83 (2016) 4, pp. 1511-1543
Persistent link: https://www.econbiz.de/10011656547
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Modelling our Changing World
Castle, Jennifer; Hendry, David F. - 2019 - 1st ed. 2019
Chapter 1: Introduction -- Chapter 2: Key Concepts: A Series of Primers -- Chapter 3: Why is the World Always Changing? -- Chapter 4: Making Trends and Breaks Work for us -- Chapter 5: Indicator Saturation Methods -- Chapter 6: Combining Theory and Data -- Chapter 7: Seeing into the Future --...
Persistent link: https://www.econbiz.de/10012398751
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Variable selection and forecasting in high dimensional linear regressions with structural breaks
Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...
Persistent link: https://www.econbiz.de/10012258549
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the …
Persistent link: https://www.econbiz.de/10010532582
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ARCO : an artificial counterfactual approach for high-dimensional panel time-series data
Carvalho, Carlos C.; Masini, Ricardo; Medeiros, Marcelo C. - 2016
units ("donors pool") using shrinkage methods, such as the Least Absolute Shrinkage Operator (LASSO). In the second stage …
Persistent link: https://www.econbiz.de/10011523575
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Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy
Callot, Laurent; Kristensen, Johannes Tang - 2014
) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are … finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with … of non zero increments grows slower than √T . By simulation experiments we investigate the properties of the Lasso and …
Persistent link: https://www.econbiz.de/10010433901
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Japan's output gap estimation and l 1 trend filtering
Yamada, Hiroshi; Jin, Lan - In: Empirical economics : a journal of the Institute for … 45 (2013) 1, pp. 81-88
Persistent link: https://www.econbiz.de/10009779247