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Adaptive LASSO estimation for ARDL models with garch innovations

Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015

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 …

Persistent link: https://www.econbiz.de/10010505034

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

Adaptive LASSO estimation for ARDL models with GARCH innovations

Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Econometric reviews 36 (2017) 6/9, pp. 622-637

Persistent link: https://www.econbiz.de/10011795298

A review on variable selection in regression analysis

Desboulets, Loann David Denis - In: Econometrics : open access journal 6 (2018) 4, pp. 1-27

In this paper, we investigate several variable selection procedures to give an overview of the existing literature for practitioners. “Let the data speak for themselves” has become the motto of many applied researchers since the number of data has significantly grown. Automatic model...

Persistent link: https://www.econbiz.de/10011945783

Structural breaks detection using step-indicator saturation technique in state-space model

Farid Zamani Che Rose; Mohd Tahir Ismail; Nur Aqilah … - In: International journal of computational economics and … 14 (2024) 1, pp. 61-80

Persistent link: https://www.econbiz.de/10015062778

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

Local Walsh-average-based estimation and variable selection for spatial single-index autoregressive models

Song, Yunquan; Su, Hang; Zhan, Minmin - In: Networks and spatial economics : a journal of … 24 (2024) 2, pp. 313-339

Persistent link: https://www.econbiz.de/10015126914

Functional index coefficient models with variable selection

Cai, Zongwu; Juhl, Ted; Yang, Bingduo - In: Journal of econometrics 189 (2015) 2, pp. 272-284

Persistent link: https://www.econbiz.de/10011504526

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

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