Boosting high dimensional predictive regressions with time varying parameters
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Publication:2043255
DOI10.1016/j.jeconom.2020.08.003OpenAlexW3083009177MaRDI QIDQ2043255
Publication date: 30 July 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.03109
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items (5)
Penalized time-varying model averaging ⋮ Sieve bootstrap inference for linear time-varying coefficient models ⋮ Time-varying forecast combination for factor-augmented regressions with smooth structural changes ⋮ Time-varying predictability of the long horizon equity premium based on semiparametric regressions ⋮ Modeling tail risks of inflation using unobserved component quantile regressions
Uses Software
Cites Work
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