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Nonparametric Bayes Conditional Distribution Modeling With Variable Selection

Dunson, David - 2009

This article considers a methodology for flexibly characterizing the relationship between a response and multiple predictors. Goals are (1) to estimate the conditional response distribution addressing the distributional changes across the predictor space, and (2) to identify important predictors...

Persistent link: https://www.econbiz.de/10009475527

High-Dimensional Forecasting with Known Knowns and Known Unknowns

Pesaran, M. Hashem; Smith, Ron P. - 2024

, known knowns, using Lasso and OCMT, and approximating unobserved latent factors, known unknowns, by various means. This …

Persistent link: https://www.econbiz.de/10014534378

A bankruptcy probability model for assessing credit risk on corporate loans with automated variable selection

Hjelseth, Ida Nervik; Raknerud, Arvid; Vatne, Bjørn Helge - 2022

limited liability companies for the period 2010-2021. We use logistic Lasso regressions to select bankruptcy predictors from a …

Persistent link: https://www.econbiz.de/10014551720

A Hodrick-Prescott filter with automatically selected jumps

Maranzano, Paolo; Pelagatti, Matteo - 2024

The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...

Persistent link: https://www.econbiz.de/10014581212

Arellano-Bond lasso estimator for dynamic linear panel models

Chernozhukov, Victor; Fernández-Val, Iván; Huang, Chen; … - 2024

most informative moment conditions, motivating the following approach to remove the bias: First, apply LASSO to the cross …

Persistent link: https://www.econbiz.de/10014581834

Insolvenzprognose für ukrainische, deutsche sowie nordamerikanische Unternehmen

Perederiy, Volodymyr - 2010

Kennzahlen.Die zweite Methode verwendet das innovative statistische Lasso-Verfahren zur Kennzahlenauswahl im Rahmen eines … Insolvenzprognosemodells für US-amerikanische Grossunternehmen. Lasso ist ein neues vielversprechendes Verfahren zur Auswahl erklärender … weitere erklärende Variablen für Insolvenzprognose zu verwenden.Das Lasso-Verfahren wurde auch bei diesen Untersuchungen mit …

Persistent link: https://www.econbiz.de/10009460748

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/10011440136

How connected is the global sovereign credit risk network?

Bostancı, Görkem; Yılmaz, Kamil - 2015

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...

Persistent link: https://www.econbiz.de/10011440137

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2015

In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment,...

Persistent link: https://www.econbiz.de/10011445754

International Inflation Synchronization and Implications

Chon, Sora - In: KDI Journal of Economic Policy 42 (2020) 2, pp. 57-84

This study analyzes global inflation synchronization and derives policy implications for the Korean economy. Unlike previous studies that assume a single global inflation factor, this study investigates if inflation in Korea can be explained further by other global inflation factors. Our...

Persistent link: https://www.econbiz.de/10012298159