Time-varying Lasso
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DOI: 10.1016/j.econlet.2018.04.029
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References listed on IDEAS
- Liudas Giraitis & George Kapetanios & Tony Yates, 2018.
"Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(2), pages 129-149, March.
- Liudas Giraitis & George Kapetanios & Tony Yates, 2015. "Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models," Working Papers 767, Queen Mary University of London, School of Economics and Finance.
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More about this item
Keywords
Large datasets; Structural change; Penalised regressions; Lasso;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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