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Showing 1 to 1 of 1 for “"OLS Post-Lasso"”.
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Essays on Commodity Price Shocks, Bank Risk and Market Volatility Forecasting
… We propose utilizing the ordinary least square post–least absolute shrinkage and selection operator (OLS post–Lasso) from Belloni and Chernozhukov (2013) to select the predictors and estimate the coefficients for a heterogeneous autoregressive (HAR) model (Corsi, 2009). In an out–of–sample …