High-dimensional predictive regression in the presence of cointegration
Bonsoo Koo, Heather M. Anderson, Myung Hwan Seo, Wenying Yao
| Year of publication: |
2020
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|---|---|
| Authors: | Koo, Bonsoo ; Anderson, Heather M. ; Seo, Myung Hwan ; Yao, Wenying |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 219.2020, 2, p. 456-477
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| Subject: | Cointegration | High-dimensional predictive regression | LASSO | Return predictability | Regressionsanalyse | Regression analysis | Kointegration | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.03.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483404