Lassoed boosting and linear prediction in the equities market
IF 0.8
4区 经济学
Q3 ECONOMICS
引用次数: 0
Abstract
We consider a two-stage estimation method for linear regression. First, it uses the lasso in Tibshirani to screen variables and, second, re-estimates the coefficients using the least-squares boosti...股票市场中的套期保值和线性预测
我们考虑了线性回归的两阶段估计方法。首先，它使用 Tibshirani 中的套索来筛选变量；其次，使用最小二乘提升法重新估计系数。
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来源期刊
Econometric Reviews
管理科学-数学跨学科应用
CiteScore
1.70
自引率
0.00%
发文量
27
审稿时长
>12 weeks
期刊介绍：
Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.
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