Forecasting using sparse cointegration

Keyphrases

• Cointegration 100%
• Cointegrating Vector 100%
• Prediction Accuracy 66%
• High-dimensional Setting 66%
• Long-term Equilibrium Relationship 66%
• Johansen's Method 66%
• Growth Forecasting 66%
• Sparse Estimators 66%
• Cointegration Model 66%
• Interest Rates 33%
• Some Element 33%
• Estimation Accuracy 33%
• Sparse Estimation 33%
• Sparse Methods 33%
• Consumption Growth 33%
• Cointegration Analysis 33%

INIS

• vectors 100%
• forecasting 100%
• accuracy 66%
• equilibrium 66%
• growth 66%
• comparative evaluations 33%
• gain 33%
• interest rate 33%
• lead method 33%

Economics, Econometrics and Finance

• Time Series 100%
• Interest Rate 33%