Time-varying Lasso

DOI10.1016/j.econlet.2018.04.029zbMath1401.62115OpenAlexW2800769252MaRDI QIDQ1787675

Filip Zikes, George Kapetanios

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://kclpure.kcl.ac.uk/portal/en/publications/timevarying-lasso(09ae7a40-20cd-44c6-8804-4323e5058cd3).html

zbMATH Keywords

structural changeLassolarge datasetspenalised regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Uses Software

• glmnet

Cites Work

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• A unified approach to model selection and sparse recovery using regularized least squares
• Statistics for high-dimensional data. Methods, theory and applications.
• Asymptotics for Lasso-type estimators.
• Least angle regression. (With discussion)
• Simultaneous analysis of Lasso and Dantzig selector
• Inference on stochastic time-varying coefficient models
• Regularization of Wavelet Approximations
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
• Regularization and Variable Selection Via the Elastic Net
• The Lasso for High Dimensional Regression with a Possible Change Point

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