Time-varying Lasso
| Autor: | Filip Zikes, George Kapetanios |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Inflation
Economics and Econometrics Computer science media_common.quotation_subject Penalised regressions 05 social sciences Monte Carlo method Linear model Estimator 01 natural sciences Large datasets 010104 statistics & probability Lasso (statistics) 0502 economics and business Structural change Applied mathematics Standard algorithms 0101 mathematics Lasso Data dependent Finance 050205 econometrics media_common |
| Zdroj: | Kapetanios, G & Zikes, F 2018, ' Time-varying Lasso ', ECONOMICS LETTERS . https://doi.org/10.1016/j.econlet.2018.04.029 |
| Popis: | This paper introduces a Lasso-type estimator for large linear models with time-varying parameters. The estimator is easy to implement in practice and standard algorithms developed for Lasso with fixed parameters can be readily used. We derive theoretical properties of the estimator, allowing for deterministic or stochastic smoothly varying parameter processes and discuss ways in which tuning parameters can be data dependent. Monte Carlo simulation and an application to forecasting inflation with macroeconomic variables illustrates the usefulness of our method. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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