Machine Learning Regularization Methods in High-Dimensional Monetary and Financial VARs

Machine Learning Regularization Methods in High-Dimensional Monetary and Financial VARs

Vector autoregressions (VARs) and their multiple variants are standard models in economic and financial research due to their power for forecasting, data analysis and inference. These properties are a consequence of their capabilities to include multiple variables and lags which, however, turns into...

Полное описание

Библиографические подробности
Главные авторы: Sánchez García, Javier, Cruz Rambaud, Salvador
Формат: info:eu-repo/semantics/article
Язык:English
Опубликовано: MDPI 2022
Предметы:
VAR
machine learning
LASSO (Least Absolute Shrinkage and Selection Operator)
regularization methods
sparsity
monetary economics
financial economics
Online-ссылка:http://hdl.handle.net/10835/13536

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