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TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang; Wang, Weining; Yu, Lining - In: Journal of econometrics 192 (2016) 2, pp. 499-513
Persistent link: https://www.econbiz.de/10011704738
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Cross-validation for selecting a model selection procedure
Zhang, Yongli; Yang, Yuhong - In: Journal of econometrics 187 (2015) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10011498762
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Sparse linear models and l1-regularized 2SLS with high-dimensional endogenous regressors and instruments
Zhu, Ying - In: Journal of econometrics 202 (2018) 2, pp. 196-213
Persistent link: https://www.econbiz.de/10011974561
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Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models
Kock, Anders Bredahl - In: Journal of econometrics 195 (2016) 1, pp. 71-85
Persistent link: https://www.econbiz.de/10011705233
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L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271
Persistent link: https://www.econbiz.de/10011598121
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Oracle inequalities for high dimensional vector autoregressions
Kock, Anders Bredahl; Callot, Laurent - In: Journal of econometrics 186 (2015) 2, pp. 325-344
Persistent link: https://www.econbiz.de/10011349464
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Irregular N2SLS and LASSO estimation of the matrix exponential spatial specification model
Jin, Fei; Lee, Lung-fei - In: Journal of econometrics 206 (2018) 2, pp. 336-358
Persistent link: https://www.econbiz.de/10012110393
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ArCo : an artificial counterfactual approach for high-dimensional panel time-series data
Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - In: Journal of econometrics 207 (2018) 2, pp. 352-380
Persistent link: https://www.econbiz.de/10012116360
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Ill-posed estimation in high-dimensional models with instrumental variables
Breunig, Christoph; Mammen, Enno; Simoni, Anna - In: Journal of econometrics 219 (2020) 1, pp. 171-200
Persistent link: https://www.econbiz.de/10012483200
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High-dimensional predictive regression in the presence of cointegration
Koo, Bonsoo; Anderson, Heather M.; Seo, Myung Hwan; … - In: Journal of econometrics 219 (2020) 2, pp. 456-477
Persistent link: https://www.econbiz.de/10012483404