SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS

DOI10.1111/jtsa.12077zbMath1311.62147OpenAlexW1570996322MaRDI QIDQ5176852

Jin-hong You, Guodong Li, Degao Li

Publication date: 4 March 2015

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

Full work available at URL: http://hdl.handle.net/10722/209823

zbMATH Keywords

consistencyasymptotic normalitypartially linearautoregressive error

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items

Identification for partially linear regression model with autoregressive errors, Semiparametric time series regression modeling with a diverging number of parameters, Spline estimation of partially linear regression models for time series with correlated errors

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