We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time …

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 … variables beforehand. Finally, we show that the LASSO estimator can be used to construct the initial weights. The performance of …

units (“donors pool”) using shrinkage methods, such as the Least Absolute Shrinkage Operator (LASSO). In the second stage …

time after others. In particular, we propose a penalized (LASSO) regression with an error correction mechanism to construct …

properties of LASSO estimation of weakly sparse vector-autoregressive models with heavy tailed, weakly dependent innovations with …