Automated variable selection in vector multiplicative error models
نویسندگان
چکیده
منابع مشابه
Vector Multiplicative Error Models: Representation and Inference∗
The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multivariate extension of such a model, by taking into consideration the possibility that the vector innovation process be contemporaneously correlated. The...
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This supplement has two sections. Section 1 contains proofs of some auxiliary lemmas used in the main text. Section 2 provides some further simulation results which complement those reported in the main text. 1 Proofs of Auxiliary Lemmas This section provides proofs of some lemmas which are used in the main text to derive the asymptotic properties of the LS shrinkage estimator. For ease of expo...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2010
ISSN: 0167-9473
DOI: 10.1016/j.csda.2009.08.007