Penalized time-varying model averaging
Yuying Sun, Yongmiao Hong, Shouyang Wang, Xinyu Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Sun, Yuying ; Hong, Yongmiao ; Wang, Shouyang ; Zhang, Xinyu |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 235.2023, 2, p. 1355-1377
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| Subject: | Asymptotic normality | LASSO | Model averaging | Sparsity | Time-varying weights | Modellierung | Scientific modelling | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | Regressionsanalyse | Regression analysis | 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.2022.09.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471396