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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí: Sánchez García, Javier, Cruz Rambaud, Salvador
Formáid: info:eu-repo/semantics/article
Teanga:English
Foilsithe / Cruthaithe: MDPI 2022
Ábhair:
VAR
machine learning
LASSO (Least Absolute Shrinkage and Selection Operator)
regularization methods
sparsity
monetary economics
financial economics
Rochtain ar líne:http://hdl.handle.net/10835/13536

Ar líne

http://hdl.handle.net/10835/13536

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