This is a way of using Bayesian models in a VAR framework. Prior to Lasso, the most widely used method for choosing which variables to include was stepwise…
Read moreVARX Elastic NetThe elastic net is a regression method that linearly combines the lasso and ridge (see below) methods. Basically, the elastic net method finds the ridge…
Read moreVECM LassoVector Error Correction Models are useful for data sets with long-run relationships (also called cointegration). VECMs are useful for estimating both…
Read moreVARX LassoLasso, Least Absolute Shrinkage and Selection Operator is the most successful application of AI within econometrics. Lasso was introduced in order to improve…
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