2 citations · 2 across the 1 of their papers we have counts for
2 papers
econ.EM2019★ 2 cited
High-Dimensional Forecasting in the Presence of Unit Roots and Cointegration
Stephan Smeekes, Etienne Wijler
We investigate how the possible presence of unit roots and cointegration affects forecasting with Big Data. As most macroeoconomic time series are very persistent and may contain u…
econ.EM2018
An Automated Approach Towards Sparse Single-Equation Cointegration Modelling
Stephan Smeekes, Etienne Wijler
In this paper we propose the Single-equation Penalized Error Correction Selector (SPECS) as an automated estimation procedure for dynamic single-equation models with a large number…