Regularization parameter selection via cross-validation in the presence of dependent regressors: a simulation study
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References listed on IDEAS
- Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
- Jianqing Fan & Jinchi Lv & Lei Qi, 2011. "Sparse High-Dimensional Models in Economics," Annual Review of Economics, Annual Reviews, vol. 3(1), pages 291-317, September.
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More about this item
Keywords
Regularization parameter selection; Cross-validation; Forecasting; Penalized Regression; High-dimensional time series model;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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