Adaptive LASSO estimation for ARDL models with GARCH innovations

Marcelo C. Medeiros and Eduardo F. Mendes

Year of publication:	2017
Authors:	Medeiros, Marcelo C. ; Mendes, Eduardo F.
Published in:	Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 36.2017, 6/9, p. 622-637
Subject:	adaLASSO \| ARDL \| GARCH \| LASSO \| shrinkage \| sparse models \| time series \| ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Innovation

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