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Adaptive LASSO estimation for ARDL models with GARCH innovations
Author(s):
Marcelo C. Medeiros
1
,
Eduardo F. Mendes
2
Publication date
Created:
March 24 2017
Publication date
(Electronic):
March 22 2017
Journal:
Econometric Reviews
Publisher:
Informa UK Limited
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Cardiovascular Innovations and Applications
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Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Jianqing Fan
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Runze Li
(2001)
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The Adaptive Lasso and Its Oracle Properties
Hui Zou
(2006)
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Statistics for High-Dimensional Data
Peter Bühlmann
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Sara van de Geer
(2011)
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Author and article information
Journal
Title:
Econometric Reviews
Abbreviated Title:
Econometric Reviews
Publisher:
Informa UK Limited
ISSN (Print):
0747-4938
ISSN (Electronic):
1532-4168
Publication date Created:
March 24 2017
Publication date Created:
October 21 2017
Publication date (Electronic):
March 22 2017
Publication date (Print):
October 21 2017
Volume
: 36
Issue
: 6-9
Pages
: 622-637
Affiliations
[
1
]
Department of Economics, Pontifical Catholic University of Rio de Janeiro, Rio de Janeiro, Brazil
[
2
]
School of Applied Mathematics, Fundação Getulio Vargas, Rio de Janeiro, Brazil
Article
DOI:
10.1080/07474938.2017.1307319
SO-VID:
29935b27-a0ab-4beb-98ce-76eff2a7e4e6
Copyright ©
© 2017
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