Variable selection for high-dimensional regression models with time series and heteroscedastic errors
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jeconom.2020.01.009
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Liu, Wen-Hsien, 2005. "Determinants of the semiconductor industry cycles," Journal of Policy Modeling, Elsevier, vol. 27(7), pages 853-866, October.
- Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
- Z. John Daye & Jinbo Chen & Hongzhe Li, 2012. "High-Dimensional Heteroscedastic Regression with an Application to eQTL Data Analysis," Biometrics, The International Biometric Society, vol. 68(1), pages 316-326, March.
- Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(1), pages 3-22, February.
- Ning Hao & Hao Helen Zhang, 2014. "Interaction Screening for Ultrahigh-Dimensional Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1285-1301, September.
- Wen-Hsien Liu & Shu-Shih Weng, 2018. "On predicting the semiconductor industry cycle: a Bayesian model averaging approach," Empirical Economics, Springer, vol. 54(2), pages 673-703, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Hou, Li & Jin, Baisuo & Wu, Yuehua, 2024. "Estimation and variable selection for high-dimensional spatial dynamic panel data models," Journal of Econometrics, Elsevier, vol. 238(2).
- Hongqi Chen & Ji Hyung Lee, 2024. "Predictive Quantile Regression with High-Dimensional Predictors: The Variable Screening Approach," Papers 2410.15097, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Li, Zhaoyuan & Yao, Jianfeng, 2019. "Testing for heteroscedasticity in high-dimensional regressions," Econometrics and Statistics, Elsevier, vol. 9(C), pages 122-139.
- Rajesh K. Aggarwal & Andrew A. Samwick, 1999.
"Executive Compensation, Strategic Competition, and Relative Performance Evaluation: Theory and Evidence,"
Journal of Finance, American Finance Association, vol. 54(6), pages 1999-2043, December.
- Rajesh Aggarwal & Andrew A. Samwick, 1996. "Executive Compensation, Strategic Competition, and Relative Performance Evaluation: Theory and Evidence," NBER Working Papers 5648, National Bureau of Economic Research, Inc.
- Peracchi, Franco, 2002. "On estimating conditional quantiles and distribution functions," Computational Statistics & Data Analysis, Elsevier, vol. 38(4), pages 433-447, February.
- Jerôme Dedecker & Paul Doukhan, 2002. "A New Covariance Inequality and Applications," Working Papers 2002-25, Center for Research in Economics and Statistics.
- Park, Donghyun & Xiao, Qin, 2009. "Housing Prices and the Role of Speculation: The Case of Seoul," ADB Economics Working Paper Series 146, Asian Development Bank.
- Tsimpanos, Apostolos & Tsimbos, Cleon & Kalogirou, Stamatis, 2018. "Assessing spatial variation and heterogeneity of fertility in Greece at local authority level," MPRA Paper 100406, University Library of Munich, Germany.
- Narula, Subhash C. & Wellington, John F. & Lewis, Stephen A., 2012. "Valuating residential real estate using parametric programming," European Journal of Operational Research, Elsevier, vol. 217(1), pages 120-128.
- Dominique Guegan, 2005.
"How can we Define the Concept of Long Memory? An Econometric Survey,"
Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
- Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343, HAL.
- Enno Siemsen & Kenneth A. Bollen, 2007. "Least Absolute Deviation Estimation in Structural Equation Modeling," Sociological Methods & Research, , vol. 36(2), pages 227-265, November.
- Zangin Zeebari & Ghazi Shukur, 2023.
"On The Least Absolute Deviations Method for Ridge Estimation of Sure Models,"
Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(14), pages 4773-4791, July.
- Zeebari, Zangin & Shukur, Ghazi, 2012. "On the Least Absolute Deviations Method for Ridge Estimation of SURE Models," HUI Working Papers 69, HUI Research.
- Pedro Telhado Pereira & Pedro Silva Martins, 2000.
"Does education reduce wage inequality? Quantile regressions evidence from fifteen European countries,"
Nova SBE Working Paper Series
wp379, Universidade Nova de Lisboa, Nova School of Business and Economics.
- Pereira, Pedro Telhado & Martins, Pedro Silva, 2002. "Does Education Reduce Wage Inequality? Quantile Regressions Evidence from Fifteen European Countries," Discussion Papers 709, The Research Institute of the Finnish Economy.
- Pereira, Pedro T. & Martins, Pedro S., 2000. "Does Education Reduce Wage Inequality? Quantile Regressions Evidence from Fifteen European Countries," IZA Discussion Papers 120, Institute of Labor Economics (IZA).
- Omar Arias & Gustavo Yamada & Luis Tejerina, 2004.
"Education, family background and racial earnings inequality in Brazil,"
International Journal of Manpower, Emerald Group Publishing Limited, vol. 25(3/4), pages 355-374, April.
- Arias, Omar & Yamada, Gustavo & Tejerina, Luis, 2002. "Education, Family Background and Racial Earnings Inequality in Brazil," IDB Publications (Working Papers) 4369, Inter-American Development Bank.
- Martin F. Grace & J. Tyler Leverty, 2010. "Political Cost Incentives for Managing the Property‐Liability Insurer Loss Reserve," Journal of Accounting Research, Wiley Blackwell, vol. 48(1), pages 21-49, March.
- Pan, Qunxing & Li, Peng & Du, Xiuli, 2023. "An improved FIGARCH model with the fractional differencing operator (1-νL)d," Finance Research Letters, Elsevier, vol. 55(PB).
- Hideaki Nagahata & Masanobu Taniguchi, 2018. "Analysis of variance for high-dimensional time series," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 455-468, July.
- Fersterer, Josef & Winter-Ebmer, Rudolf, 2003.
"Are Austrian returns to education falling over time?,"
Labour Economics, Elsevier, vol. 10(1), pages 73-89, February.
- Fersterer, Josef & Winter-Ebmer, Rudolf, 1999. "Are Austrian Returns to Education Falling Over Time?," CEPR Discussion Papers 2313, C.E.P.R. Discussion Papers.
- Fersterer, Josef & Winter-Ebmer, Rudolf, 1999. "Are Austrian Returns to Education Falling Over Time?," IZA Discussion Papers 72, Institute of Labor Economics (IZA).
- Machado, Jose A. F. & Silva, J. M. C. Santos, 2000. "Glejser's test revisited," Journal of Econometrics, Elsevier, vol. 97(1), pages 189-202, July.
- Agbeyegbe, Terence D., 2015.
"An inverted U-shaped crude oil price return-implied volatility relationship,"
Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.
- Terence D. Agbeyegbe, 2015. "An inverted U‐shaped crude oil price return‐implied volatility relationship," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 28-45, November.
- Ordu, Beyza Mina & Oran, Adil & Soytas, Ugur, 2018. "Is food financialized? Yes, but only when liquidity is abundant," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 82-96.
- Komunjer, Ivana, 2005.
"Quasi-maximum likelihood estimation for conditional quantiles,"
Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
- Komunjer, Ivana, 2002. "Quasi-Maximum Likelihood Estimation for Conditional Quantiles," Working Papers 1139, California Institute of Technology, Division of the Humanities and Social Sciences.
More about this item
Keywords
Heteroscedasticity; High-dimensional information criterion; Orthogonal greedy algorithm; Long-range dependence;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:216:y:2020:i:1:p:118-136. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.