2 citations · 4 across the 4 of their papers we have counts for
4 papers
A restricted eigenvalue condition for unit-root non-stationary data
Etienne Wijler
In this paper, we develop a restricted eigenvalue condition for unit-root non-stationary data and derive its validity under the assumption of independent Gaussian innovations that…
Sparse Generalized Yule-Walker Estimation for Large Spatio-temporal Autoregressions with an Application to NO2 Satellite Data
Hanno Reuvers, Etienne Wijler
We consider a high-dimensional model in which variables are observed over time and space. The model consists of a spatio-temporal regression containing a time lag and a spatial lag…
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…
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…