Machine Learning Panel Data Regressions with Heavy-tailed Dependent Data: Theory and Application
51 Pages Posted: 24 Sep 2020 Last revised: 23 Nov 2021
Date Written: August 6, 2020
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.
Keywords: high-dimensional panels, large N and T panels, mixed-frequency data, sparse-group LASSO, fat tails
JEL Classification: C22, C51, C52, C53, C55, C58, G17
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