EMPIRICAL LIMITS FOR TIME SERIES ECONOMETRIC MODELS

By W. Ploberger, Peter C. B. Phillips. 2003

47 citations recorded by the source corpus.

Subfields: Applied Mathematics, Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/966fbc41f1b5590ed7360bf95d9a535468d80e06

Citations in the corpus

• CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS (2015, unknown): “For example, sparse models are known to often forecast better than dense ones and in fact Ploberger and Phillips (2003)6 have shown that this is even more so the case in a nonstationary environment.”
• On LASSO for predictive regression (2018, unknown): “In terms of prediction performance, it is known that eliminating irrelvant predictors is more important than including relevant ones, see Ploberger and Phillips (2003), for example.”
• How Structural Are Structural Parameters? [with Comments and Discussion] (2007, unknown): “The term emt is a random shock distributed ac cording to Jf(0,1).”