Donato Ceci

University of Rome Tor Vergata

Via di Tor Vergata

Rome, Lazio 00133

Italy

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Scholarly Papers (1)

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A Horse Race in High Dimensional Space

CEIS Working Paper No. 452
Number of pages: 31 Posted: 15 Feb 2019
Paolo Andreini and Donato Ceci
University of Rome Tor Vergata and University of Rome Tor Vergata
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Abstract:

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Variable selection, High-dimensional time series, Dynamic factor models, Shrinkage methods, Cross-validation