Penalized leads-and-lags cointegrating regression : a simulation study and two empirical applications
Year of publication: |
2023
|
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Authors: | Neto, David |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 65.2023, 2, p. 949-971
|
Subject: | Adaptive LASSO | Bitcoin | Carbon emission | Dynamic OLS | Environmental Kuznets curve | Information criteria | Investor attention | Lead-lag truncation | Leads-and-lags cointegrating regression | Penalized regression | Regressionsanalyse | Regression analysis | Kointegration | Cointegration | Simulation | Treibhausgas-Emissionen | Greenhouse gas emissions | Environmental Kuznets Curve | Kleinste-Quadrate-Methode | Least squares method | Schätztheorie | Estimation theory |
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