1. On the impact of serial dependence on penalized regression methods. (2022). Giovannelli, Alessandro ; Tonini, Simone ; Chiaromonte, Francesca.
   In: LEM Papers Series.
   RePEc:ssa:lemwps:2022/21.

   Full description at Econpapers || Download paper

2. Penalised inference for lagged dependent regression in the presence of autocorrelated residuals. (2018). Vinciotti, Veronica ; Haselimashhadi, Hamed.
   In: METRON.
   RePEc:spr:metron:v:76:y:2018:i:1:d:10.1007_s40300-017-0121-3.

   Full description at Econpapers || Download paper

3. Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics. (2017). GUEGAN, Dominique ; Veiga, Alvaro ; Epprecht, Camila.
   In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
   RePEc:hal:cesptp:halshs-00917797.

   Full description at Econpapers || Download paper

4. Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature. (2017). Monbet, Valerie ; Ailliot, Pierre.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:108:y:2017:i:c:p:40-51.

   Full description at Econpapers || Download paper

5. Sparse seasonal and periodic vector autoregressive modeling. (2017). Pipiras, Vladas ; Davis, Richard A ; Baek, Changryong.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:106:y:2017:i:c:p:103-126.

   Full description at Econpapers || Download paper

6. Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques. (2016). Teräsvirta, Timo ; Kock, Anders ; Terasvirta, Timo.
   In: Econometric Reviews.
   RePEc:taf:emetrv:v:35:y:2016:i:8-10:p:1753-1779.

   Full description at Econpapers || Download paper

7. Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics. (2016). Audrino, Francesco ; Knaus, Simon D.
   In: Econometric Reviews.
   RePEc:taf:emetrv:v:35:y:2016:i:8-10:p:1485-1521.

   Full description at Econpapers || Download paper

8. Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR–ARCH type processes. (2016). Ziel, Florian.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:100:y:2016:i:c:p:773-793.

   Full description at Econpapers || Download paper

9. Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo.
   In: Papers.
   RePEc:arx:papers:1510.05118.

   Full description at Econpapers || Download paper

10. Testing the lag structure of assets’ realized volatility dynamics. (2015). Camponovo, Lorenzo ; Audrino, Francesco ; Roth, Constantin .
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2015:01.

    Full description at Econpapers || Download paper

11. Forecasting VARs, model selection, and shrinkage. (2015). Trenkler, Carsten ; Kascha, Christian.
    In: Working Papers.
    RePEc:mnh:wpaper:38872.

    Full description at Econpapers || Download paper

12. Nets: Network Estimation for Time Series. (2015). Brownlees, Christian ; Barigozzi, Matteo.
    In: Working Papers.
    RePEc:bge:wpaper:723.

    Full description at Econpapers || Download paper

13. Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes. (2015). Ziel, Florian.
    In: Papers.
    RePEc:arx:papers:1502.06557.

    Full description at Econpapers || Download paper

14. Sparse Graphical Vector Autoregression: A Bayesian Approach. (2014). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix.
    In: Working Papers.
    RePEc:ven:wpaper:2014:29.

    Full description at Econpapers || Download paper

15. Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models. (2013). Camponovo, Lorenzo ; Audrino, Francesco.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2013:27.

    Full description at Econpapers || Download paper

16. Nets: Network estimation for time series. (2013). Brownlees, Christian ; Barigozzi, Matteo.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1391.

    Full description at Econpapers || Download paper

17. Comparing variable selection techniques for linear regression: LASSO and Autometrics. (2013). GUEGAN, Dominique ; Epprecht, Camila ; Veiga, Alvaro.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:13080.

    Full description at Econpapers || Download paper

18. Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models. (2013). Camponovo, Lorenzo ; Audrino, Francesco.
    In: Papers.
    RePEc:arx:papers:1312.1473.

    Full description at Econpapers || Download paper

1. Bai, J. and Ng, S.: 2002, Determine the number of factors in approximate factor models, Econometrica 70, 191â221.
   Paper not yet in RePEc: Add citation now
   

2. Bai, J. and Ng, S.: 2008, Forecasting economic time series using targeted predictors, Journal of Econometrics 146, 304â317.

3. Belloni, A., Chen, D., Chernozhukov, V. and Hansen, C.: 2010, Sparse models and methods for instrumental regression, with an application to eminent domain, Working Paper - MIT .

4. Campbell, J. and Thompson, S.: 2008, Predicting the equity premium out of sample: Can anything beat the historical average?, Review of Financial Studies . forthcoming.

5. Davidson, J.: 1994, Stochastic Limit Theory, Oxford University Press, Oxford.
   Paper not yet in RePEc: Add citation now
   
6. Dedecker, J., Doukhan, P., Lang, G., Leon, J., Louhichi, S. and Prieur, C.: 2007, Weak dependence with examples and applications, Springer.
   Paper not yet in RePEc: Add citation now
   
7. Efron, B., Hastie, T., Johnstone, I. and Tibshirani, R.: 2004, Least angle regression, The Annals of Statistics 32(2), 407â499.
   Paper not yet in RePEc: Add citation now
   
8. ESTIMATING HIGH-DIMENSIONAL TIME SERIES MODELS 29 Huang, J., Horowitz, J. and Ma, S.: 2009, Asymptotic properties of bridge estimators in sparse high-dimensional regression models, Annals of Statistics 36(2), 587â613.
   Paper not yet in RePEc: Add citation now
   

9. Fan, J. and Li, R.: 2001, Variable selection via nonconcave penalized likelihood and its oracle properties, Journal of the American Statistical Association 96, 1348â1360.

10. Ferreira, M. and Santa-Clara, P.: 2011, Forecasting stock market returns: The sum of the parts is more than the whole, Journal of Financial Economics 100, 514â537.

11. Goyal, A. and Welch, I.: 2008, A comprehensive look at the empirical performance of equity premium prediction, Review of Financial Studies . forthcoming.

12. Hsu, N., Hung, H. and Chang, Y.: 2008, Subset selection for vector autoregressive processes using lasso, Computational Statistics & Data Analysis 52(7), 3645â3657.

13. Huang, J., Ma, S. and Shang, C.-H.: 2008, Adaptive lasso for sparse high-dimensional regression models, Statistica Sinica 18, 1603â1618.
    Paper not yet in RePEc: Add citation now
    

14. Issler, J. and Lima, L.: 2009, A panel-data approach to economic forecasting: The biascorrected average forecast, Journal of Econometrics 152, 153â164.

15. Kock, A. and Callot, L.: 2012, Oracle inequalities for high dimensional vector autoregressions, Research Paper 12, CREATES, Aarhus University.

16. Kock, A.: 2012, Consistent and conservative model selection in stationary and non-stationary autoregressions, Research Paper 05, CREATES, Aarhus University.
    Paper not yet in RePEc: Add citation now
    

17. Lee, T.-H., Hillebrand, E. and Medeiros, M.: 2008, Lets do it again: Bagging equity premium predictors, Discussion paper, Pontiïcal Catholic University of Rio de Janeiro.

18. Meinshausen, N. and Yu, B.: 2009, Lasso-type recovery of sparse representations for high dimensional data, The Annals of Statistics 37, 246â270.
    Paper not yet in RePEc: Add citation now
    

19. Nardi, Y. and Rinaldo, A.: 2011, Autoregressive process modeling via the lasso procedure, Journal of Multivariate Analysis 102, 528â549.

20. Rapach, D., Strauss, J. and Zhou, G.: 2010, Out-of-sample equity premium prediction: Consistently beating the historical average, Review of Financial Studies 23, 821â862.
    Paper not yet in RePEc: Add citation now
    

21. Rech, G., Terasvirta, T. and Tschernig, R.: 2001, A simple variable selection technique for nonlinear models, Communications in Statistics, Theory and Methods 30.

22. Song, S. and Bickel, P. J.: 2011, Large vector autoregressions, ArXiv e-prints .

23. Stock, J. and Watson, M.: 2002a, Forecasting using principal components from a large number of predictors, Journal of the American Statistical Association 97, 1167â1179.
    Paper not yet in RePEc: Add citation now
    
24. Stock, J. and Watson, M.: 2002b, Macroeconomic forecasting using diffusion indexes, Journal of Business and Economic Statistics 20, 147â162.
    Paper not yet in RePEc: Add citation now
    
25. van der Geer, S. and Buhlmann, P.: 2011, Statistics for High-Dimensional Data: Methods, Theory and Applications, Spring Series in Statistics, Springer.
    Paper not yet in RePEc: Add citation now
    

26. Wang, H., Li, G. and Tsai, C.: 2007, Regression coefïcient and autoregressive order shrinkage and selection via the lasso, Journal of the Royal Statistical Society: Series B(Statistical Methodology) 69(1), 63â78.

27. Zhang, Y., Li, R. and Tsai, C.-L.: 2010, Regularization parameter selections via generalized information criterion, Journal of the American Statistical Association 105, 312â323.

28. Zhao, P. and Yu, B.: 2006, On model consistency of lasso, Journal of Machine Learning Research 7, 2541â2563.
    Paper not yet in RePEc: Add citation now
    
29. Zou, H., Hastie, T. and Tibshirani, R.: 2007, On the degrees of freedom of the lasso, Annals of Statistics 35, 2173â2192.
    Paper not yet in RePEc: Add citation now
    
30. Zou, H.: 2006, The adaptive lasso and its oracle properies, Journal of the American Statistical Association 101, 1418â1429.
    Paper not yet in RePEc: Add citation now
    

1. Identification of Time-Varying Factor Models. (2024). Cheung, Ying Lun.
   In: Journal of Business & Economic Statistics.
   RePEc:taf:jnlbes:v:42:y:2024:i:1:p:76-94.

   Full description at Econpapers || Download paper

2. Nowcasting services trade for the G7 economies. (2024). Mourougane, Annabelle ; Gonzales, Frederic ; Jaax, Alexander.
   In: The World Economy.
   RePEc:bla:worlde:v:47:y:2024:i:4:p:1336-1386.

   Full description at Econpapers || Download paper

3. Housing Demand Shocks and Households Balance Sheets. (2021). Anderes, Marc.
   In: KOF Working papers.
   RePEc:kof:wpskof:21-492.

   Full description at Econpapers || Download paper

4. Forecasting own brand sales: Does incorporating competition help?. (2019). Franses, Philip Hans ; Fok, Dennis.
   In: Econometric Institute Research Papers.
   RePEc:ems:eureir:123417.

   Full description at Econpapers || Download paper

5. Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake. (2015). hsiao, cheng ; Fujiki, Hiroshi.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:186:y:2015:i:1:p:66-73.

   Full description at Econpapers || Download paper

6. Bayesian estimation of sparse dynamic factor models with order-independent identification. (2013). Schumacher, Christian ; Kaufmann, Sylvia.
   In: Working Papers.
   RePEc:szg:worpap:1304.

   Full description at Econpapers || Download paper

7. Forecasting using a large number of predictors: Bayesian model averaging versus principal components regression. (2013). Ouysse, Rachida.
   In: Discussion Papers.
   RePEc:swe:wpaper:2013-04.

   Full description at Econpapers || Download paper

8. Mining Big Data Using Parsimonious Factor and Shrinkage Methods. (2013). Swanson, Norman ; Kim, Hyun Hak.
   In: Departmental Working Papers.
   RePEc:rut:rutres:201316.

   Full description at Econpapers || Download paper

9. Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets. (2013). Swanson, Norman ; Kim, Kihwan.
   In: Departmental Working Papers.
   RePEc:rut:rutres:201315.

   Full description at Econpapers || Download paper

10. Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version. (2013). Hansen, Bruce ; Cheng, Xu.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:13-061.

    Full description at Econpapers || Download paper

11. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure. (2013). MORANA, CLAUDIO.
    In: Working Papers.
    RePEc:mib:wpaper:233.

    Full description at Econpapers || Download paper

12. Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?. (2013). Hammoudeh, Shawkat ; Modise, Mampho P. ; Khuong, Duc .
    In: Working Papers.
    RePEc:ipg:wpaper:20.

    Full description at Econpapers || Download paper

13. Short-term forecasts of French GDP: A dynamic factor model with targeted predictors. (2013). Bessec, Marie.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/10079.

    Full description at Econpapers || Download paper

14. Nowcasting Czech GDP in Real Time. (2013). Rusnák, Marek.
    In: Working Papers.
    RePEc:cnb:wpaper:2013/06.

    Full description at Econpapers || Download paper

15. Dynamic Factor Models: A review of the Literature .. (2013). Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier ; Darne, O..
    In: Working papers.
    RePEc:bfr:banfra:430.

    Full description at Econpapers || Download paper

16. Uncertainty and heterogeneity in factor models forecasting. (2013). Monteforte, Libero ; Luciani, Matteo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_930_13.

    Full description at Econpapers || Download paper

17. Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility. (2013). Venditti, Fabrizio ; Marcellino, Massimiliano ; Porqueddu, Mario.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_896_13.

    Full description at Econpapers || Download paper

18. Forecasting with Many Models: Model Confidence Sets and Forecast Combination. (2013). Sekkel, Rodrigo ; Samuels, Jon D..
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-11.

    Full description at Econpapers || Download paper

19. Diffusion Indexes with Sparse Loadings. (2013). Kristensen, Johannes.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-22.

    Full description at Econpapers || Download paper

20. Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression. (2013). van Dijk, Dick ; Groenen, Patrick ; Exterkate, Peter ; Patrick J. F. Groenen, ; Heij, Christiaan.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-16.

    Full description at Econpapers || Download paper

21. Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies. (2012). Giovannelli, Alessandro.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:255.

    Full description at Econpapers || Download paper

22. Estimating High-Dimensional Time Series Models.. (2012). Medeiros, Marcelo ; Mendes, Eduardo F..
    In: Textos para discussão.
    RePEc:rio:texdis:602.

    Full description at Econpapers || Download paper

23. Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach. (2012). Hansen, Bruce ; Cheng, Xu.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:12-046.

    Full description at Econpapers || Download paper

24. Generating short-term forecasts of the Lithuanian GDP using factor models. (2012). Enas, Julius Stak.
    In: Bank of Lithuania Working Paper Series.
    RePEc:lie:wpaper:13.

    Full description at Econpapers || Download paper

25. Lasso-type and Heuristic Strategies in Model Selection and Forecasting. (2012). Winker, Peter ; Savin, Ivan.
    In: Jena Economics Research Papers.
    RePEc:jrp:jrpwrp:2012-055.

    Full description at Econpapers || Download paper

26. Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland. (2012). Siliverstovs, Boriss ; Kholodilin, Konstantin.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:232:y:2012:i:4:p:429-444.

    Full description at Econpapers || Download paper

27. Nowcasting the French index of industrial production: A comparison from bridge and factor models. (2012). Darné, Olivier ; Brunhes-Lesage, Veronique .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:6:p:2174-2182.

    Full description at Econpapers || Download paper

28. Sometimes it helps: the evolving predictive power of spreads on GDP dynamics. (2012). Passaro, Raffaele ; Nicoletti, Giulio.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121447.

    Full description at Econpapers || Download paper

29. Forecasting GDP over the business cycle in a multi-frequency and data-rich environment. (2012). Bessec, Marie ; Bouabdallah, O..
    In: Working papers.
    RePEc:bfr:banfra:384.

    Full description at Econpapers || Download paper

30. Forecasting economic activity with higher frequency targeted predictors. (2012). Venditti, Fabrizio ; Marcellino, Massimiliano ; Bulligan, Guido.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_847_12.

    Full description at Econpapers || Download paper

31. Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F..
    In: CREATES Research Papers.
    RePEc:aah:create:2012-37.

    Full description at Econpapers || Download paper

32. Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors. (2012). Lee, Tae Hwy ; Hillebrand, Eric.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-18.

    Full description at Econpapers || Download paper

33. Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence. (2011). Swanson, Norman ; Kim, Hyun Hak.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201119.

    Full description at Econpapers || Download paper

34. Forecasting national activity using lots of international predictors: An application to New Zealand. (2011). Ng, Tim ; Eickmeier, Sandra.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:496-511.

    Full description at Econpapers || Download paper

35. A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP. (2011). Rünstler, Gerhard ; Banbura, Marta ; Runstler, Gerhard.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:333-346.

    Full description at Econpapers || Download paper

36. Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks. (2011). Luciani, Matteo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/97308.

    Full description at Econpapers || Download paper

37. Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions. (2010). Diebold, Francis ; Aruoba, S. Boragan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15657.

    Full description at Econpapers || Download paper

38. Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP. (2010). Siliverstovs, Boriss ; Kholodilin, Konstantin.
    In: KOF Working papers.
    RePEc:kof:wpskof:10-251.

    Full description at Econpapers || Download paper

39. Real-time macroeconomic monitoring: real activity, inflation, and interactions. (2010). Diebold, Francis ; Aruoba, S. Boragan.
    In: Working Papers.
    RePEc:fip:fedpwp:10-5.

    Full description at Econpapers || Download paper

40. Factor forecasting using international targeted predictors: The case of German GDP. (2010). Schumacher, Christian.
    In: Economics Letters.
    RePEc:eee:ecolet:v:107:y:2010:i:2:p:95-98.

    Full description at Econpapers || Download paper

41. Factor forecasting using international targeted predictors: the case of German GDP. (2009). Schumacher, Christian.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:7579.

    Full description at Econpapers || Download paper

42. To Combine Forecasts or to Combine Information?. (2009). Lee, Tae Hwy ; Huang, Huiyu.
    In: Working Papers.
    RePEc:ucr:wpaper:200806.

    Full description at Econpapers || Download paper

43. Forecasting national activity using lots of international predictors: an application to New Zealand. (2009). Ng, Tim ; Eickmeier, Sandra.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2009/04.

    Full description at Econpapers || Download paper

44. Boosting diffusion indices. (2009). Ng, Serena ; Bai, Jushan.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:4:p:607-629.

    Full description at Econpapers || Download paper

45. Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth. (2009). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7343.

    Full description at Econpapers || Download paper

46. Ñ-STING: España Short Term INdicator of Growth. (2009). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: Working Papers.
    RePEc:bde:wpaper:0912.

    Full description at Econpapers || Download paper

47. Forecasting investment: A fishing contest using survey data. (2008). Maria, José ; Serra, Sara.
    In: Working Papers.
    RePEc:ptu:wpaper:w200818.

    Full description at Econpapers || Download paper

48. Forecasting Using Targeted Diffusion Indexes. (2008). Rua, António ; Pinheiro, Maximiano ; Dias, Francisco Craveiro.
    In: Working Papers.
    RePEc:ptu:wpaper:w200807.

    Full description at Econpapers || Download paper

49. Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?. (2008). Reichlin, Lucrezia ; Giannone, Domenico ; de Mol, Christine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:146:y:2008:i:2:p:318-328.

    Full description at Econpapers || Download paper

50. The cyclical component factor model. (2008). Hansen, Henrik ; Dahl, Christian ; Smidt, John.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-44.

    Full description at Econpapers || Download paper

Report date: 2025-09-30 23:39:33 || Missing content? Let us know