Narrow search
Showing 1 - 10 of 1,564
Cover Image
Forecasting with dimension switching VARs
Koop, Gary - In: International journal of forecasting 30 (2014) 2, pp. 280-290
Persistent link: https://www.econbiz.de/10010510910
Cover Image
Forecasting macroeconomic variables in data-rich environments
Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R. - In: Economics letters 138 (2016), pp. 50-52
Persistent link: https://www.econbiz.de/10011615474
Cover Image
Estimating global bank network connectedness
Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2015
We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top …
Persistent link: https://www.econbiz.de/10011309448
Cover Image
Oracle inequalities for high dimensional vector autoregressions
Kock, Anders Bredahl; Callot, Laurent - In: Journal of econometrics 186 (2015) 2, pp. 325-344
Persistent link: https://www.econbiz.de/10011349464
Cover Image
Estimating global bank network connectedness
Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2017
Persistent link: https://www.econbiz.de/10011616797
Cover Image
Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas; Paparoditis, Efstathios; Trenkler, Carsten - In: Journal of econometrics 234 (2023) 1, pp. 276-300
Persistent link: https://www.econbiz.de/10014364826
Cover Image
Forecasting Czech GDP using Bayesian dynamic model averaging
Karel, Tomáš; Hebák, Petr - In: International journal of economic sciences : IJoES 7 (2018) 1, pp. 65-81
Persistent link: https://www.econbiz.de/10011877916
Cover Image
Steady-state priors and Bayesian variable selection in VAR forecasting
Louzis, Dimitrios P. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 5, pp. 495-527
Persistent link: https://www.econbiz.de/10011649150
Cover Image
Directed graphs and variable selection in large vector autoregressive models
Bertsche, Dominik; Brüggemann, Ralf; Kascha, Christian - 2019 - First draft: July 17, 2017, this version: December 10, 2018
We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so-called strongly connected components (SCCs). Using this graphical representation, we consider the problem of variable selection. We use the relations...
Persistent link: https://www.econbiz.de/10012317407
Cover Image
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