7 citations · 23 across the 8 of their papers we have counts for
Showing 2022 · econ.EMShow all
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econ.EM2022★ 2 cited
On LASSO for High Dimensional Predictive Regression
Ziwei Mei, Zhentao Shi
This paper examines LASSO, a widely-used -penalized regression method, in high dimensional linear predictive regressions, particularly when the number of potential predictor…
econ.EM2022★ 1 cited
The boosted HP filter is more general than you might think
Ziwei Mei, Peter C. B. Phillips, Zhentao Shi
The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP fi…