An Automated Approach Towards Sparse Single-Equation Cointegration Modelling

  title={An Automated Approach Towards Sparse Single-Equation Cointegration Modelling},
  author={Stephan Smeekes and Etienne Wijler},
  journal={arXiv: Econometrics},
  • Stephan Smeekes, Etienne Wijler
  • Published 2018
  • Computer Science, Economics, Mathematics
  • arXiv: Econometrics
  • In this paper we propose the Single-equation Penalized Error Correction Selector (SPECS) as an automated estimation procedure for dynamic single-equation models with a large number of potentially (co)integrated variables. By extending the classical single-equation error correction model, SPECS enables the researcher to model large cointegrated datasets without necessitating any form of pre-testing for the order of integration or cointegrating rank. Under an asymptotic regime in which both the… CONTINUE READING
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