most citedIdentifying Elasticities in Autocorrelated Time Series Using Causal Mechanism Graphs

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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…