SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES
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Publication:2981821
DOI10.1017/S0266466615000237zbMath1385.62018MaRDI QIDQ2981821
Publication date: 10 May 2017
Published in: Econometric Theory (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Statistical methods; risk measures (91G70)
Related Items (20)
Estimation and identification of latent group structures in panel data ⋮ Test by adaptive Lasso quantile method for real-time detection of a change-point ⋮ Shrinkage quantile regression for panel data with multiple structural breaks ⋮ Efficient multiple change point detection for high‐dimensional generalized linear models ⋮ Penetrating sporadic return predictability ⋮ Shrinkage estimation of multiple threshold factor models ⋮ A modified information criterion for tuning parameter selection in 1d fused LASSO for inference on multiple change points ⋮ Testing for explosive bubbles: a review ⋮ IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS ⋮ Group fused Lasso for large factor models with multiple structural breaks ⋮ High-dimensional VARs with common factors ⋮ Detection of similar successive groups in a model with diverging number of variable groups ⋮ Changepoint in dependent and non-stationary panels ⋮ Multiple structural breaks in cointegrating regressions: a model selection approach ⋮ Unnamed Item ⋮ Identifying latent group structures in nonlinear panels ⋮ Estimation of large dimensional factor models with an unknown number of breaks ⋮ Changepoint detection by the quantile Lasso method ⋮ A penalized regression approach for DNA copy number study using the sequencing data ⋮ Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions
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