Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions
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- Kock, Anders Bredahl & Callot, Laurent, 2015.
"Oracle inequalities for high dimensional vector autoregressions,"
Journal of Econometrics,
Elsevier, vol. 186(2), pages 325-344.
- Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers 2012-16, Department of Economics and Business Economics, Aarhus University.
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- Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
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- Smeekes, Stephan & Wijler, Etiënne, 2016. "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum 039, Maastricht University, Graduate School of Business and Economics (GSBE).
More about this item
KeywordsVector autoregression; VAR; adaptive Lasso; Group Lasso; Forecasting; Factor models; LSTAR.;
- 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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
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