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Forecasting macroeconomic variables using neural network models and three automated model selection techniques
Kock, Anders Bredahl; Teräsvirta, Timo - In: Econometric reviews 35 (2016) 8/10, pp. 1753-1779
Persistent link: https://www.econbiz.de/10011592391
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Forecasting macroeconomic variables using neural network models and three automated model selection techniques
Kock, Anders Bredahl; Teräsvirta, Timo - 2011
Persistent link: https://www.econbiz.de/10009267762
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Discussion of the paper "Forecasting performance of three automated modeling techniques during the economic crisis 2007 - 2009" by A. Kock and T. Teräsvirta
Dubois, Eric - In: International journal of forecasting 30 (2014) 3, pp. 632-634
Persistent link: https://www.econbiz.de/10010514784
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Forecasting With Nonlinear Time Series Models
Kock, Anders Bredahl; Teräsvirta, Timo - In: The Oxford handbook of economic forecasting. 2012
Persistent link: https://www.econbiz.de/10012882026
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Consistent and conservative model selection with the adaptive lasso in stationary and nonstationary autoregressions
Kock, Anders Bredahl - In: Econometric theory 32 (2016) 1, pp. 243-259
Persistent link: https://www.econbiz.de/10011578467
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On the miracle property of the adaptive LASSO in stationary and nonstationary autoregressions
Kock, Anders Bredahl - 2012
Persistent link: https://www.econbiz.de/10009485767
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Forecasting with universal approximators and a learning algorithm
Kock, Anders Bredahl - In: Journal of time series econometrics 3 (2011) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10009623564
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Forecasting with universal approximators and a learning algorithm
Kock, Anders Bredahl - 2009
Persistent link: https://www.econbiz.de/10003849546
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Penalized time series regression
Kock, Anders Bredahl; Medeiros, Marcelo C.; … - In: Macroeconomic forecasting in the era of big data : …, (pp. 193-228). 2020
This chapter covers penalized regression in the framework of linear time series models and reviews the most commonly used penalized estimators in applied work, namely Ridge Regression, the Least Absolute Shrinkage and Selection Operator (Lasso), the Elastic Net, the adaptive versions of the...
Persistent link: https://www.econbiz.de/10012159790
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Asymptotically honest confidence regions for high dimensional
Caner, Mehmet; Kock, Anders Bredahl - 2014
Persistent link: https://www.econbiz.de/10010416896