Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle

DOI10.1016/j.matcom.2020.08.011OpenAlexW3081082484MaRDI QIDQ1998246

David Neto

Publication date: 6 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2020.08.011

zbMATH Keywords

capital mobilityadaptive Lassodynamic penalized regressionsparse-Fourier coefficientstime-varying cointegration

Mathematics Subject Classification ID

Parametric inference (62Fxx) Statistical decision theory (62Cxx) Communication, information (94Axx) Sufficiency and information (62Bxx) Foundational topics in statistics (62Axx)

Uses Software

• ElemStatLearn

Cites Work

• Unnamed Item
• The Adaptive Lasso and Its Oracle Properties
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Estimating the dimension of a model
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
• Testing for two-regime threshold cointegration in vector error-correction models.
• Residual-based tests for cointegration in models with regime shifts
• Feldstein-Horioka meets a time trend
• Variable selection using MM algorithms
• Asymptotic Properties of Residual Based Tests for Cointegration
• Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
• Threshold Cointegration
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• TIME-VARYING COINTEGRATION
• Some Comments on C P

This page was built for publication: Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle