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Limit theory and inference in non-cointegrated functional coefficient regression

Wang, Ying; Phillips, Peter C. B.; Tu, Yundong - 2024

Persistent link: https://www.econbiz.de/10015077168

Forecasting using sparse cointegration

Wilms, Ines; Croux, Christophe - In: International journal of forecasting 32 (2016) 4, pp. 1256-1267

Persistent link: https://www.econbiz.de/10011622146

Semi-parametric single-index predictive regression models with cointegrated regressors

Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - In: Journal of econometrics 238 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015073842

On LASSO for high dimensional predictive regression

Mei, Ziwei; Shi, Zhentao - In: Journal of econometrics 242 (2024) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10015075221

Variable selection and forecasting in high dimensional linear regressions with structural breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549

Sparse multiple index models for high-dimensional nonparametric forecasting

Palihawadana, Nuwani K.; Hyndman, Rob J.; Wang, Xiaoqian - 2024

Persistent link: https://www.econbiz.de/10015073818

Machine learning advances for time series forecasting

Masini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of economic surveys 37 (2023) 1, pp. 76-111

Persistent link: https://www.econbiz.de/10014287800

Real estate trend prediction using linear regression and artificial neural network techniques

Zhou, Sophia L. - In: Global journal of business research : GJBR 16 (2022) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10013414603

Pathwise CVA regressions with oversimulated defaults

Abbas-Turki, Lokman A.; Crépey, Stéphane; Saadeddine, … - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 274-307

Persistent link: https://www.econbiz.de/10014278670

LIBOR meets machine learning : A Lasso regression approach to detecting data irregularities

Pontines, Victor; Rummel, Ole - In: Finance research letters 55 (2023) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10014473047

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