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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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Division:
SSD
Department:
Economics
Department:
University of Oxford
Role:
Author

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Role:
Supervisor
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
UUID:
uuid:69f2833b-cc53-457a-8426-37c06df85bc2
Deposit date:
2015-10-17

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