9 citations · 13 across the 5 of their papers we have counts for
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stat.ME2020★ 1 cited
Regularized Estimation in High-Dimensional Vector Auto-Regressive Models using Spatio-Temporal Information
Zhenzhong Wang, Abolfazl Safikhani, Zhengyuan Zhu +1
A Vector Auto-Regressive (VAR) model is commonly used to model multivariate time series, and there are many penalized methods to handle high dimensionality. However in terms of spa…
econ.EM2020
Variable Selection in Macroeconomic Forecasting with Many Predictors
Zhenzhong Wang, Zhengyuan Zhu, Cindy Yu
In the data-rich environment, using many economic predictors to forecast a few key variables has become a new trend in econometrics. The commonly used approach is factor augment (F…