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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.

References

Reference sources

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

  1. [S1] Reference

    Tibshirani (1996) --- introduced the LASSO and its geometric interpretation

    Reference

  2. [S2] Reference

    Efron, Hastie, Johnstone, Tibshirani (2004) --- LARS algorithm for computing the entire LASSO solution path efficiently

    Reference

  3. [S3] Reference

    Zou (2006) --- adaptive LASSO with oracle properties

    Reference

  4. [S4] Reference

    Zou, Hastie (2005) --- elastic net combining L1 and L2 penalties

    Reference

  5. [S5] Reference

    Bickel, Ritov, Tsybakov (2009) --- oracle inequalities for LASSO under restricted eigenvalue conditions

    Reference

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Concepts

Output and incomeBusiness cyclesPrices and inflationReal and nominal

Indicators

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Nearby models

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