Automated estimation of vector error correction models

Automated estimation of vector error correction models

Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where mult...

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Bibliographic Details
Main Authors: LIAO, Zhipeng, Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Adaptive shrinkage
Automation
Cointegrating rank
Lasso regression
Oracle efficiency
Transient dynamics
Vector error correction
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1872
https://ink.library.smu.edu.sg/context/soe_research/article/2872/viewcontent/AutomatedEstimationVECmodels_2013_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1872
https://ink.library.smu.edu.sg/context/soe_research/article/2872/viewcontent/AutomatedEstimationVECmodels_2013_pp.pdf

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