英文标题：
《Oracle Properties and Finite Sample Inference of the Adaptive Lasso for
Time Series Regression Models》
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作者：
Francesco Audrino and Lorenzo Camponovo
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最新提交年份：
2013
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英文摘要：
We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particular, we investigate the question of how to conduct finite sample inference on the parameters given an adaptive lasso model for some fixed value of the shrinkage parameter. Central in this study is the test of the hypothesis that a given adaptive lasso parameter equals zero, which therefore tests for a false positive. To this end we construct a simple testing procedure and show, theoretically and empirically through extensive Monte Carlo simulations, that the adaptive lasso combines efficient parameter estimation, variable selection, and valid finite sample inference in one step. Moreover, we analytically derive a bias correction factor that is able to significantly improve the empirical coverage of the test on the active variables. Finally, we apply the introduced testing procedure to investigate the relation between the short rate dynamics and the economy, thereby providing a statistical foundation (from a model choice perspective) to the classic Taylor rule monetary policy model.
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中文摘要：
我们对时间序列回归模型的自适应最小绝对收缩和选择算子（自适应lasso）的性质得出了新的理论结果。特别地，我们研究了如何对给定的参数进行有限样本推断的问题，该参数是针对收缩参数的某个固定值的自适应lasso模型。这项研究的核心是对假设的检验，即给定的自适应套索参数等于零，从而检验假阳性。为此，我们构建了一个简单的测试程序，并通过广泛的蒙特卡罗模拟从理论和经验上证明，自适应套索在一步中结合了有效的参数估计、变量选择和有效的有限样本推理。此外，我们通过分析得出了一个偏差修正系数，该系数能够显著提高主动变量测试的经验覆盖率。最后，我们应用引入的测试程序来研究短期利率动态与经济之间的关系，从而为经典的泰勒规则货币政策模型提供统计基础（从模型选择的角度）。
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分类信息：

一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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