Search Results - subject:"adaLASSO"

l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations

Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time … number of observations. We show the adaLASSO consistently chooses the relevant variables as the number of observations … heteroskedastic. This allows the adaLASSO to be applied to a myriad of applications in empirical finance and macroeconomics. A …

Persistent link: https://www.econbiz.de/10011807460

Adaptative LASSO estimation for ARDL models with GARCH innovations

Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015

In this paper we show the validity of the adaptive LASSO procedure in estimating stationary ARDL(p,q) models with GARCH innovations. We show that, given a set of initial weights, the adaptive Lasso selects the relevant variables with probability converging to one. Afterwards, we show that the...

Persistent link: https://www.econbiz.de/10011807461

Adaptive LASSO estimation for ARDL models with garch innovations

Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015

Persistent link: https://www.econbiz.de/10010505034

L1-regularization of high-dimensional time-series models with flexible innovations

Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015

Persistent link: https://www.econbiz.de/10010505038

Estimating High-Dimensional Time Series Models

Medeiros, Marcelo C.; Mendes, Eduardo F. - School of Economics and Management, University of Aarhus - 2012

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time … observations and the number of candidate variables is, possibly, larger than the number of observations. We show the adaLASSO …

Persistent link: https://www.econbiz.de/10010851219