Lasso-type and Heuristic Strategies in Model Selection and Forecasting
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References listed on IDEAS
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Cited by:
- Savin Ivan, 2013.
"A Comparative Study of the Lasso-type and Heuristic Model Selection Methods,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(4), pages 526-549, August.
- Ivan Savin, 2010. "A comparative study of the Lasso-type and heuristic model selection methods," Working Papers 042, COMISEF.
- Kascha, Christian & Trenkler, Carsten, 2015. "Forecasting VARs, model selection, and shrinkage," Working Papers 15-07, University of Mannheim, Department of Economics.
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More about this item
Keywords
Adaptive Lasso; Elastic net; Forecasting; Genetic algorithms; Heuristic methods; Lasso; Model selection;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CIS-2012-10-20 (Confederation of Independent States)
- NEP-CMP-2012-10-20 (Computational Economics)
- NEP-ECM-2012-10-20 (Econometrics)
- NEP-FOR-2012-10-20 (Forecasting)
- NEP-ORE-2012-10-20 (Operations Research)
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