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A0755
Title: Specification of ARMA: Models with the adaptive lasso Authors:  Christian Kascha - University of Zurich (Switzerland) [presenting]
Abstract: The properties of the adaptive lasso as a method for specifying and estimating autoregressive moving-average (ARMA) models are studied. We develop an estimation method based on the adaptive lasso and previous algorithms. We study the small sample properties of the method with a Monte Carlo simulation. We also investigate the precision of the resulting forecasts.