Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
We show that the adaptive Lasso is oracle efficient in stationary and nonstationary autoregressions. This means that it estimates parameters consistently, selects the correct sparsity pattern, and estimates the coefficients belonging to the relevant variables at the same asymptotic efficiency as if...
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| Format: | Journal article |
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Cambridge University Press
2015
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