This paper overviews recent developments in series estimation of stochastic processes and some of their applications in econometrics. Underlying this approach is the idea that a stochastic process may under certain conditions be represented in terms of a set of orthonormal basis functions,...

Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where...

It is well known that the bridge regression (with tuning parameter less or equal to 1) gives asymptotically unbiased estimates of the nonzero regression parameters while shrinking smaller regression parameters to zero to achieve variable selection. Despite advances in the last several decades in...