Journal article
Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
- Abstract:
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We show that the adaptive Lasso is oracle efficient in stationary and nonstationary autoregressions. This means that it estimates parameters consistently, selects the correct sparsity pattern, and estimates the coefficients belonging to the relevant variables at the same asymptotic efficiency as if only these had been included in the model from the outset. In particular, this implies that it is able to discriminate between stationary and nonstationary autoregressions and it thereby constitute...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Accepted manuscript, pdf, 357.1KB)
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- Publisher copy:
- 10.1017/S0266466615000304
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Authors
Bibliographic Details
- Publisher:
- Cambridge University Press Publisher's website
- Journal:
- Econometric Theory Journal website
- Volume:
- 32
- Issue:
- 01
- Pages:
- 243-259
- Publication date:
- 2015-09-01
- DOI:
- EISSN:
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1469-4360
- ISSN:
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0266-4666
- Source identifiers:
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794878
Item Description
- Keywords:
- Pubs id:
-
pubs:794878
- UUID:
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uuid:558d9039-d3d7-420e-8198-864da938450e
- Local pid:
- pubs:794878
- Deposit date:
- 2019-01-31
Terms of use
- Copyright holder:
- Cambridge University Press
- Copyright date:
- 2015
- Notes:
- COPYRIGHT: © Cambridge University Press 2015. This is the accepted manuscript version of the article. The final version is available online from Cambridge University Press at: https://doi.org/10.1017/S0266466615000304
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