Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports

DOI10.1007/978-3-030-77094-5_44zbMath1495.62101OpenAlexW3210248133MaRDI QIDQ2086244

Vo Thi Le Uyen, Trinh Quoc Trung, Pham Hoang Uyen, Le Thanh Hoa

Publication date: 25 October 2022

Full work available at URL: https://doi.org/10.1007/978-3-030-77094-5_44

zbMATH Keywords

stationaryGARCH modelLasso regressionautoregression modelOLS regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Uses Software

• ElemStatLearn
• PMTK

Cites Work

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• The Adaptive Lasso and Its Oracle Properties
• PMTK
• High dimensional covariance matrix estimation using a factor model
• Cross-validation for selecting a model selection procedure
• A survey of cross-validation procedures for model selection
• Nonconcave penalized likelihood with a diverging number of parameters.
• On the asymptotic properties of the group lasso estimator for linear models
• Optimality of training/test size and resampling effectiveness in cross-validation
• GARCH Models
• Concentration inequalities of the cross-validation estimator for empirical risk minimizer

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