Andrii Babii, Ryan T. Ball, Eric Ghysels, Jonas Striaukas
arXiv 8 Aug 2020 · Econometrics · publishedJournal of Econometrics (2022) · 35 citations (OpenAlex)
arXiv:2008.03600 · PDF · DOI · OpenAlex · Extracted main text
The paper introduces structured machine learning regressions for heavy-tailed dependent panel data potentially sampled at different frequencies. We focus on the sparse-group LASSO regularization. This type of regularization can take advantage of the mixed frequency time series panel data structures and improve the quality of the estimates. We obtain oracle inequalities for the pooled and fixed effects sparse-group LASSO panel data estimators recognizing that financial and economic data can have fat tails. To that end, we leverage on a new Fuk-Nagaev concentration inequality for panel data consisting of heavy-tailed $\tau$-mixing processes.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Babii, Ghysels, and Striaukas (2021) Machine learning time series regressions with an application to nowcasting self | 0.888 | 10 | 4 | 70% |
| 2 | Bybee, Kelly, Manela, and Xiu (2019) The structure of economic news | 0.874 | 7 | 2 | 100% |
| 3 | Ball and Ghysels (2018) Automated earnings forecasts: beat analysts or combine and conquer? | 0.811 | 4 | 2 | 100% |
| 4 | Foroni, Marcellino, and Schumacher (2015) Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials | 0.737 | 3 | 2 | 100% |
| 5 | Babii, Ghysels, and Striaukas (2021) High-dimensional Granger causality tests with an application to VIX and news self | 0.714 | 11 | 6 | 36% |
| 6 | Dedecker and Prieur (2004) Coupling for $$-dependent sequences and applications | 0.644 | 5 | 2 | 40% |
| 7 | Carabias (2018) The real-time information content of macroeconomic news: implications for firm-level earnings expectations | 0.644 | 2 | 2 | 100% |
| 8 | Dedecker and Doukhan (2003) A new covariance inequality and applications | 0.511 | 2 | 2 | 50% |
| 9 | Phillips and Moon (1999) Linear regression limit theory for nonstationary panel data | 0.511 | 2 | 2 | 50% |
| 10 | Dedecker and Prieur (2005) New dependence coefficients. Examples and applications to statistics | 0.511 | 2 | 1 | 100% |
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