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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Bibliographic Details
Main Authors: Javier Sánchez García, Salvador Cruz Rambaud
Format: Article
Language:English
Published: MDPI AG 2022-03-01
Series:Mathematics
Subjects:
VAR
machine learning
LASSO (Least Absolute Shrinkage and Selection Operator)
regularization methods
sparsity
monetary economics
Online Access:https://www.mdpi.com/2227-7390/10/6/877

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https://www.mdpi.com/2227-7390/10/6/877

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