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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Computational economics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Applied economics letters
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Journal of economic dynamics & control
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Energy economics
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NBER Working Paper
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Cowles Foundation discussion paper
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ECONIS (ZBW)
12,707
RePEc
1
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1
Adaptive
Lasso
for vector Multiplicative Error Models
Cattivelli, Luca
;
Gallo, Giampiero M.
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 255-274
Persistent link: https://www.econbiz.de/10012194865
Saved in:
2
Sparse structures with
LASSO
through principal components : forecasting GDP components in the short-run
Jokubaitis, Saulius
;
Celov, Dmitrij
;
Leipus, Remigijus
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 759-776
Persistent link: https://www.econbiz.de/10012792868
Saved in:
3
L1-regularization of high-dimensional time-series models with flexible innovations
Medeiros, Marcelo C.
;
Mendes, Eduardo F.
-
2015
We study the asymptotic properties of the Adaptive
LASSO
(adaLASSO) in sparse, high-dimensional, linear time …
Persistent link: https://www.econbiz.de/10010505038
Saved in:
4
L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.
;
Mendes, Eduardo F.
- In:
Journal of econometrics
191
(
2016
)
1
,
pp. 255-271
Persistent link: https://www.econbiz.de/10011598121
Saved in:
5
Forecasting by factors, by variables, by both or neither?
Castle, Jennifer
;
Clements, Michael P.
;
Hendry, David F.
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 305-319
Persistent link: https://www.econbiz.de/10010255142
Saved in:
6
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
Saved in:
7
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
Saved in:
8
Modelling non-stationary "big data"
Castle, Jennifer
;
Doornik, Jurgen A.
;
Hendry, David F.
-
2020
Persistent link: https://www.econbiz.de/10012202702
Saved in:
9
LASSO
-type penalties for covariate selection and forecasting in time series
Konzen, Evandro
;
Ziegelmann, Flávio A.
- In:
Journal of forecasting
35
(
2016
)
7
,
pp. 592-612
Persistent link: https://www.econbiz.de/10011610065
Saved in:
10
Day-ahead electricity price forecasting with high-dimensional structures : univariate vs. multivariate modeling frameworks
Ziel, Florian
;
Weron, Rafał
- In:
Energy economics
70
(
2018
),
pp. 396-420
Persistent link: https://www.econbiz.de/10011942844
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