A Horse Race in High Dimensional Space
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More about this item
Keywords
Variable selection; High-dimensional time series; Dynamic factor models; Shrinkage methods; Cross-validation;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2019-02-18 (Big Data)
- NEP-ECM-2019-02-18 (Econometrics)
- NEP-ETS-2019-02-18 (Econometric Time Series)
- NEP-FOR-2019-02-18 (Forecasting)
- NEP-ORE-2019-02-18 (Operations Research)
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