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Thesis

Forecasting with large datasets

Abstract:

This thesis analyzes estimation methods and testing procedures for handling large data series. The first chapter introduces the use of the adaptive elastic net, and the penalized regression methods nested within it, for estimating sparse vector autoregressions. That chapter shows that under suitable conditions on the data generating process this estimation method satisfies an oracle property. Furthermore, it is shown that the bootstrap can be used to accurately conduct inference on the es...

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Department:
University of Oxford

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Role:
Supervisor
Type of award:
DPhil
Awarding institution:
University of Oxford

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