Macroeconomic model reference

LASSO Model

L1-penalized linear regression -- drives some coefficients to zero, doing variable selection inside the fit.

Empirical forecasting models · Sources

LASSO sources, papers, and evidence trail

Primary papers, model variants, source notes, and review signals behind the LASSO page.

Reference material used for orientation; read primary and academic sources first when claims conflict.

[S1] Reference
Tibshirani (1996) --- introduced the LASSO and its geometric interpretation
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[S2] Reference
Efron, Hastie, Johnstone, Tibshirani (2004) --- LARS algorithm for computing the entire LASSO solution path efficiently
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[S3] Reference
Zou (2006) --- adaptive LASSO with oracle properties
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[S4] Reference
Zou, Hastie (2005) --- elastic net combining L1 and L2 penalties
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[S5] Reference
Bickel, Ritov, Tsybakov (2009) --- oracle inequalities for LASSO under restricted eigenvalue conditions
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