3 papers
stat.ME2024
Bootstrap Adaptive Lasso Solution Path Unit Root Tests
Martin C. Arnold, Thilo Reinschlüssel
We propose sieve wild bootstrap analogues to the adaptive Lasso solution path unit root tests of Arnold and Reinschlüssel (2024) arXiv:2404.06205 to improve finite sample properti…
stat.ME2024
Adaptive Unit Root Inference in Autoregressions using the Lasso Solution Path
Martin C. Arnold, Thilo Reinschlüssel
We show that the activation knot of a potentially non-stationary regressor on the adaptive Lasso solution path in autoregressions can be leveraged for selection-free inference abou…
stat.ME2024
Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso
Thilo Reinschlüssel, Martin C. Arnold
We propose a novel approach to elicit the weight of a potentially non-stationary regressor in the consistent and oracle-efficient estimation of autoregressive models using the adap…