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~institution:"Department of Economics and Business, Universitat Pompeu Fabra"
~institution:"School of Economics and Management, University of Aarhus"
~person:"Kock, Anders Bredahl"
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Adaptive LASSO
1
Conservative model selection
1
Consistent model selection
1
Oracle efficiency
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Wilcoxon’s signed-rank test
1
artificial neural network
1
autoregression
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forecast comparison
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model selection
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nonlinear autoregressive model
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nonlinear time series
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root mean square forecast error
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shrinkage
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Kock, Anders Bredahl
Grassi, Stefano
3
Boucheron, Stéphane
2
Hendry, David F.
2
Johansen, Søren
2
Lugosi, Gábor
2
Proietti, Tommaso
2
Bartlett, Peter L.
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Giacomini, Raffaella
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Hansen, Peter R.
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Lunde, Asger
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Magistris, Paolo Santucci de
1
Massart, Pascal
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Nason, James M.
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Nonejad, Nima
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Rossi, Barbara
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Santos, Carlos
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Teräsvirta, Timo
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Department of Economics and Business, Universitat Pompeu Fabra
School of Economics and Management, University of Aarhus
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On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions
Kock, Anders Bredahl
-
School of Economics and Management, University of Aarhus
-
2012
consistent
model
selection
. We show that if the Adaptive LASSO is tuned to performed conservative
model
selection
it has power …
Persistent link: https://www.econbiz.de/10009652367
Saved in:
2
Forecasting Macroeconomic Variables using Neural Network Models and Three Automated
Model
Selection
Techniques
Kock, Anders Bredahl
;
Teräsvirta, Timo
-
School of Economics and Management, University of Aarhus
-
2011
a linear
model
selection
and estimation problem. He called this procedure the QuickNet and we shall compare its …
Persistent link: https://www.econbiz.de/10009277000
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