Oracle efficient estimation and forecasting with the adaptive Lasso and the adaptive group Lasso in vector autoregressions
Year of publication: |
2014
|
---|---|
Authors: | Callot, Laurent A. F. ; Kock, Anders Bredahl |
Published in: |
Essays in nonlinear time series econometrics. - Oxford [u.a.] : Oxford Univ. Press, ISBN 0-19-967995-9. - 2014, p. 238-266
|
Subject: | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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