Mahrad Sharifvaghefi

University of Southern California - Department of Economics

Los Angeles, CA

United States

SCHOLARLY PAPERS

2

DOWNLOADS

71

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

IPAD: Stable Interpretable Forecasting with Knockoffs Inference

Number of pages: 50 Posted: 24 Sep 2018 Last Revised: 03 Oct 2018
Yingying Fan, Jinchi Lv, Mahrad Sharifvaghefi and Yoshimasa Uematsu
University of Southern California - Marshall school of Business, University of Southern California - Marshall School of Business, University of Southern California - Department of Economics and Tohoku University - Graduate School of Economics & Management
Downloads 37 (525,789)
Citation 5

Abstract:

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Reproducibility, Power, Big Data, Interpretable Forecasting, Stability, Latent Factors, Model-X Knockoffs, Large-Scale Inference and FDR, Scalability, Intertwined Probabilistic Factors Decoupling, Lasso and Random Forest

Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks

CESifo Working Paper No. 8475
Number of pages: 83 Posted: 13 Aug 2020
Alexander Chudik, M. Hashem Pesaran and Mahrad Sharifvaghefi
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 32 (565,634)

Abstract:

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time-varying parameters, structural breaks, high-dimensionality, multiple testing, variable selection, one covariate at a time multiple testing (OCMT), forecasting

Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks

Globalization and Monetary Policy Institute Working Paper No. 394
Number of pages: 41 Posted: 28 Aug 2020
Alexander Chudik, M. Hashem Pesaran and Mahrad Sharifvaghefi
Federal Reserve Banks - Federal Reserve Bank of Dallas, affiliation not provided to SSRN and University of Southern California - Department of Economics
Downloads 2 (799,154)

Abstract:

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