1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2024★ 1 cited
Identifying Elasticities in Autocorrelated Time Series Using Causal Mechanism Graphs
Silvana Tiedemann, Jorge Sanchez Canales, Felix Schur +5
Instrumental variable (IV) methods are widely used to estimate the price elasticity of demand from observational data. However, naive IV estimators may be inconsistent in settings…
math.ST2024
ARMAr-LASSO: Mitigating the Impact of Predictor Serial Correlation on the LASSO
Simone Tonini, Francesca Chiaromonte, Alessandro Giovannelli
We explore estimation and forecast accuracy for sparse linear models, focusing on scenarios where both predictors and errors carry serial correlations. We establish a clear link be…