Browsing Documentos Indexados pela Web of Science by Author "Mendes, Eduardo Fonseca"
Now showing items 1-3 of 3
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Adaptive LASSO estimation for ARDL models with GARCH innovations
2017In this paper, we show the validity of the adaptive least absolute shrinkage and selection operator (LASSO) procedure in estimating stationary autoregressive distributed lag(p,q) models with innovations in a broad class ... -
L(1)-regularization of high-dimensional time-series models with non-gaussian and heteroskedastic errors
2016-03We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. The adaLASSO is a one-step implementation of the family of folded concave penalized least-squares. ... -
Testing for symmetry and conditional symmetry using asymmetric kernels
2015-08We derive nonparametric tests of symmetry using asymmetric kernels with either vanishing or fixed bandwidths. The idea is to split the sample around the symmetry point and then test whether the distributions to the right ...
