Oracle Efficient Estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions

L.A.F. Callot, A.B. Kock

    Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

    Original languageEnglish
    Title of host publicationEssays in Nonlinear Time Series Econometrics
    EditorsN. Haldrup, M. Meitz, P. Saikkonen
    Place of PublicationOxford
    PublisherOxford University press
    Publication statusPublished - 2014

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