Functional index coefficient models with variable selection

DOI10.1016/j.jeconom.2015.03.022zbMath1337.62245OpenAlexW3124975347MaRDI QIDQ888320

Ted Juhl, Bingduo Yang, Zong-Wu Cai

Publication date: 30 October 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.022

zbMATH Keywords

model selectionpenalty functionoracle propertysmoothly clipped absolute deviationfunctional index coefficient autoregressive model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Economic time series analysis (91B84)

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