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Regularized estimation of high-dimensional vector autoregressions with weakly dependent innovations

Masini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F. - 2020

-dimensional models. In time series context, it is mostly restricted to Gaussian autoregressions or mixing sequences. We study oracle … properties of LASSO estimation of weakly sparse vector-autoregressive models with heavy tailed, weakly dependent innovations with … and strong (ff-) mixing sequences as particular examples. From a modeling perspective, it covers several multivariate …

Persistent link: https://www.econbiz.de/10012817070

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

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Andersen, Torben - 2020

This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all – or a subset – of the variables may be fractionally integrated and the...

Persistent link: https://www.econbiz.de/10012831312

An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

Johansen, Soren - 2008

An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks. This estimator is an example of a one-step M-estimator based on Huber's skip...

Persistent link: https://www.econbiz.de/10012723996

An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

Johansen, Soren - 2008

Persistent link: https://www.econbiz.de/10012724437

Realized density estimation using intraday prices

Arnerić, Josip - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 1-9

Availability of high-frequency data, in line with IT developments, enables the use of Availability of high-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but also higher realized moments and the entire realized...

Persistent link: https://www.econbiz.de/10012264979

A penalized two-pass regression to predict stock returns with time-varying risk premia

Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...

Persistent link: https://www.econbiz.de/10012487589

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 … need to be included in a VAR if interest is in forecasting or impulse response analysis of a given set of variables. We …-step causal for the variables of interest by relating the paths in the graph to the coefficients of the "direct" VAR …

Persistent link: https://www.econbiz.de/10012317407

Technical Appendix to Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models

Chao, John C.; Swanson, Norman R. - 2022

-Augmented VAR Models by Chao and Swanson (2022) are gathered in this paper …

Persistent link: https://www.econbiz.de/10013306503

Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models

Chao, John C.; Swanson, Norman R. - 2022

. We study this problem within a factor-augmented VAR (FAVAR) framework, and show that by using variables selected via our …

Persistent link: https://www.econbiz.de/10013306504