On the impact of serial dependence on penalized regression methods
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More about this item
Keywords
Serial dependence; spurious correlation; minimum eigenvalue; penalized regressions; estimation accuracy.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-08-15 (Econometrics)
- NEP-ETS-2022-08-15 (Econometric Time Series)
- NEP-FOR-2022-08-15 (Forecasting)
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