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Single-index-based CoVaR with very high-dimensional covariates

Fan, Yan; Härdle, Wolfgang; Wang, Weining; Zhu, Lixing - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 212-226

Persistent link: https://www.econbiz.de/10011894611

Model selection and shrinkage : an overview

Caner, Mehmet; Medeiros, Marcelo C. - In: Econometric reviews 35 (2016) 8/10, pp. 1343-1346

Persistent link: https://www.econbiz.de/10011592330

Lassoing the HAR model : a model selection perspective on realized volatility dynamics

Audrino, Francesco; Knaus, Simon D. - In: Econometric reviews 35 (2016) 8/10, pp. 1485-1521

Persistent link: https://www.econbiz.de/10011592369

Shrinkage estimation of high-dimensional factor models with structural instabilities

Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank - In: The review of economic studies 83 (2016) 4, pp. 1511-1543

Persistent link: https://www.econbiz.de/10011656547

Regression quantiles under heteroscedasticity and multicollinearity : analysis of travel and tourism competitiveness

Kalina, Jan; Vašaničová, Petra; Litavcová, Eva - In: Ekonomický časopis : časopis pre ekonomickú … 67 (2019) 1, pp. 69-85

Persistent link: https://www.econbiz.de/10012149863

Indirect estimation of the monthly transport turnover indicator in Italy

Guardabascio, Barbara; Moauro, Filippo; Mosley, Luke - In: Empirical economics : a quarterly journal of the … 67 (2024) 2, pp. 531-566

Persistent link: https://www.econbiz.de/10015048759

Whence LASSO? A Rational Interpretation

Chen, Wen; Hu, Bo; Yang, Liyan - 2023

This paper rationalizes the LASSO algorithm based on uncertain fat-tail priors and max-min robust optimization. Our … rationalization excludes heuristic learning or restrictive prior assumptions in the original interpretation of LASSO (Tibshirani (1996 … reasonable range of ambiguous signals but respond linearly to almost unambiguous signals. With this LASSO equivalent strategy …

Persistent link: https://www.econbiz.de/10014235781

Cost-restricted feature selection for data acquisition

Liu, Xiaoping; Li, Xiao-Bai; Sarkar, Sumit - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 3976-3992

Persistent link: https://www.econbiz.de/10014338318

Regression discontinuity design with potentially many covariates

Arai, Yoichi; Otsu, Taisuke; Seo, Myung Hwan - 2022

Persistent link: https://www.econbiz.de/10014430086

Model error (or ambiguity) and its estimation, with particular application to loss reserving

Taylor, Greg; Mc Guire, Gráinne - In: Risks : open access journal 11 (2023) 11, pp. 1-28

approached by means of Bayesian model averaging, using the Bayesian interpretation of the LASSO. This is used to generate a set … posterior may turn out to be "thinner" than desired, and bootstrapping of the LASSO is used to increase this population. This …

Persistent link: https://www.econbiz.de/10014435599