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20182022
most citedHigh-Dimensional Forecasting in the Presence of Unit Roots and Cointegration

2 citations · 4 across the 4 of their papers we have counts for

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econ.EM2018★ 1 cited

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…