Advanced Search
MyIDEAS: Login

Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions

Contents:

Author Info

  • Anders Bredahl Kock

    ()
    (Aarhus University and CREATES)

  • Laurent A.F. Callot

    ()
    (Aarhus University and CREATES)

Abstract

We show that the adaptive Lasso (aLasso) and the adaptive group Lasso (agLasso) are oracle efficient in stationary vector autoregressions where the number of parameters per equation is smaller than the number of observations. In particular, this means that the parameters are estimated consistently at root T rate, that the truly zero parameters are classiffied as such asymptotically and that the non-zero parameters are estimated as efficiently as if only the relevant variables had been included in the model from the outset. The group adaptive Lasso differs from the adaptive Lasso by dividing the covariates into groups whose members are all relevant or all irrelevant. Both estimators have the property that they perform variable selection and estimation in one step. We evaluate the forecasting accuracy of these estimators for a large set of macroeconomic variables. The Lasso is found to be the most precise procedure overall. The adaptive and the adaptive group Lasso are less stable but mostly perform at par with the common factor models.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: ftp://ftp.econ.au.dk/creates/rp/12/rp12_38.pdf
Download Restriction: no

Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2012-38.

as in new window
Length: 36
Date of creation: 09 Jan 2012
Date of revision:
Handle: RePEc:aah:create:2012-38

Contact details of provider:
Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Vector autoregression; VAR; adaptive Lasso; Group Lasso; Forecasting; Factor models; LSTAR.;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Leeb, Hannes & Potscher, Benedikt M., 2008. "Sparse estimators and the oracle property, or the return of Hodges' estimator," Journal of Econometrics, Elsevier, vol. 142(1), pages 201-211, January.
  2. Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers 2012-16, School of Economics and Management, University of Aarhus.
  3. Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers 2011-27, School of Economics and Management, University of Aarhus.
  4. Wang, Hansheng & Leng, Chenlei, 2008. "A note on adaptive group lasso," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5277-5286, August.
  5. Hansheng Wang & Guodong Li & Chih-Ling Tsai, 2007. "Regression coefficient and autoregressive order shrinkage and selection via the lasso," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(1), pages 63-78.
  6. Leeb, Hannes & P tscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(01), pages 21-59, February.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:aah:create:2012-38. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.