Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions

DOI10.1111/jtsa.12593zbMath1493.62073arXiv2001.07949OpenAlexW3159329005MaRDI QIDQ5030952

Karsten Schweikert

Publication date: 18 February 2022

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

Full work available at URL: https://arxiv.org/abs/2001.07949

zbMATH Keywords

model selectioncointegrationadaptive group Lassochange-pointsUS money demand

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

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Cites Work

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