Automated Estimation of Vector Error Correction Models
Year of publication: |
2012-09
|
---|---|
Authors: | Liao, Zhipeng ; Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Adaptive shrinkage | Automation | Cointegrating rank | Lasso regression | Oracle efficiency | Transient dynamics | Vector error correction |
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