LASSO estimation of threshold autoregressive models

DOI10.1016/j.jeconom.2015.03.023zbMath1337.62246OpenAlexW1972909217MaRDI QIDQ888321

Ngai Hang Chan, Chun Yip Yau, Rong Mao Zhang

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.2015.03.023

zbMATH Keywords

information criteriongroup Lassoleast angle regression (LARS)multiple regimes

Mathematics Subject Classification ID

Related Items (14)

Penalized estimation of threshold auto-regressive models with many components and thresholds ⋮ Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ Frontiers in time series and financial econometrics: an overview ⋮ Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime ⋮ Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables ⋮ Shrinkage estimation of multiple threshold factor models ⋮ Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models ⋮ Group fused Lasso for large factor models with multiple structural breaks ⋮ Multi-Threshold Structural Equation Model ⋮ Generalized threshold latent variable model ⋮ Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach ⋮ Generalized high-dimensional trace regression via nuclear norm regularization ⋮ Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy ⋮ Time-Varying Autoregression with Low-Rank Tensors

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