An automated approach towards sparse single-equation cointegration modelling

Stephan Smeekes, Etienne Wijler*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

3 Downloads (Pure)
Original languageEnglish
Pages (from-to)247-276
Number of pages30
JournalJournal of Econometrics
Volume221
Issue number1
DOIs
Publication statusPublished - Mar 2021

JEL classifications

  • c32 - "Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models"
  • c52 - Model Evaluation, Validation, and Selection

Keywords

  • SPECS
  • Penalized regression
  • Single-equation error-correction model
  • Cointegration
  • High-dimensional data

Cite this