2 papers
econ.EM2026
Sparse High-Dimensional Vector Autoregressive Bootstrap
Robert Adamek, Stephan Smeekes, Ines Wilms
We introduce a high-dimensional multiplier bootstrap for time series data based on capturing dependence through a sparsely estimated vector autoregressive model. We prove its consi…
econ.EM2024
Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
Alain Hecq, Marie Ternes, Ines Wilms
Reverse Unrestricted MIxed DAta Sampling (RU-MIDAS) regressions are used to model high-frequency responses by means of low-frequency variables. However, due to the periodic structu…