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...

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Những tác giả chính: Sánchez García, Javier, Cruz Rambaud, Salvador
Định dạng: info:eu-repo/semantics/article
Ngôn ngữ:English
Được phát hành: MDPI 2022
Những chủ đề:
VAR
machine learning
LASSO (Least Absolute Shrinkage and Selection Operator)
regularization methods
sparsity
monetary economics
financial economics
Truy cập trực tuyến:http://hdl.handle.net/10835/13536

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