arXiv 16 Dec 2021 · Econometrics
arXiv:2112.08934 · PDF · DOI · OpenAlex · Extracted main text
We consider a two-stage estimation method for linear regression. First, it uses the lasso in Tibshirani (1996) to screen variables and, second, re-estimates the coefficients using the least-squares boosting method in Friedman (2001) on every set of selected variables. Based on the large-scale simulation experiment in Hastie et al. (2020), lassoed boosting performs as well as the relaxed lasso in Meinshausen (2007) and, under certain scenarios, can yield a sparser model. Applied to predicting equity returns, lassoed boosting gives the smallest mean-squared prediction error compared to several other methods.
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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 | |
|---|---|---|---|---|---|
| hastie2017extended | unmatched citation key hastie2017extended | 1.000 | 8 | 4 | 100% |
| meinshausen2007relaxed | unmatched citation key meinshausen2007relaxed | 1.000 | 5 | 4 | 100% |
| hastie2015slsparcity | unmatched citation key hastie2015slsparcity | 0.843 | 5 | 3 | 60% |
| Greenetal2017stockreturns | unmatched citation key Greenetal2017stockreturns | 0.811 | 5 | 2 | 80% |
| buhlmann2011highdimenstats | unmatched citation key buhlmann2011highdimenstats | 0.794 | 8 | 3 | 50% |
| friedman2001gbm | unmatched citation key friedman2001gbm | 0.644 | 2 | 2 | 100% |
| hurvich1998smoothing | unmatched citation key hurvich1998smoothing | 0.644 | 2 | 2 | 100% |
| tibshirani1996lasso | unmatched citation key tibshirani1996lasso | 0.644 | 2 | 2 | 100% |
| bertsimas2016bestsubset | unmatched citation key bertsimas2016bestsubset | 0.585 | 3 | 1 | 100% |
| freundetal2017boosting | unmatched citation key freundetal2017boosting | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 23 scored citations. 10 of these could not be matched to a bibliography entry, so only the citation key is shown.