Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions
Year of publication: |
2021
|
---|---|
Authors: | Schweikert, Karsten |
Published in: |
Journal of Time Series Analysis. - Oxford, UK : John Wiley & Sons, Ltd, ISSN 1467-9892. - Vol. 43.2021, 1, p. 83-104
|
Publisher: |
Oxford, UK : John Wiley & Sons, Ltd |
Subject: | Adaptive group lasso | change‐points | cointegration | model selection | US money demand |
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