Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M‐Estimators

DOI10.1111/JTSA.12270zbMath1392.62212arXiv1312.1473OpenAlexW2759469819MaRDI QIDQ4606958

Lorenzo Camponovo, Francesco Audrino

Publication date: 9 March 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.1473

zbMATH Keywords

bias correctionTaylor ruleadaptive Lassobootstrap inferenceoracle propertiesmonetary policy model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84)

Related Items (4)

Penalized averaging of parametric and non-parametric quantile forecasts ⋮ Flexible HAR model for realized volatility ⋮ Adaptive Lasso for vector Multiplicative Error Models ⋮ Bootstrap inference for penalized GMM estimators with oracle properties

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