High-dimensional predictive regression in the presence of cointegration
Version 2 2024-06-13, 07:26
Version 1 2020-12-01, 00:00
journal contribution
posted on 2024-06-13, 07:26 authored by B Koo, HM Anderson, MH Seo, W YaoHigh-dimensional predictive regression in the presence of cointegration
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Location
Amsterdam, The NetherlandsLanguage
EnglishPublication classification
C1 Refereed article in a scholarly journal, C Journal articleJournal
Journal of EconometricsVolume
219Pagination
456-477ISSN
0304-4076eISSN
1872-6895Issue
2Publisher
ELSEVIER SCIENCE SAUsage metrics
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Keywords
Social SciencesScience & TechnologyPhysical SciencesEconomicsMathematics, Interdisciplinary ApplicationsSocial Sciences, Mathematical MethodsBusiness & EconomicsMathematicsMathematical Methods In Social SciencesCointegrationHigh-dimensional predictive regressionLASSOReturn predictabilitySTOCK RETURNSVARIABLE SELECTIONMODEL SELECTIONPREMIUMTESTSPREDICTABILITYNONSTATIONARYSTATIONARYCONSISTENTSHRINKAGEDepartment of Economics3802 Econometrics
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