Thesis
Forecasting with large datasets
- Abstract:
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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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Bibliographic Details
- Type of award:
- DPhil
- Awarding institution:
- University of Oxford
Terms of use
- Copyright date:
- 2014
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