The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Ulrike Schneider(Institute of Statistics and Mathematical Methods in Economics, TU Wien)
Understanding the Adaptive LASSO in Predictive Regressions
Wednesday, March 26, 2025, 17:15, in Building D4, Room D4.0.127.

Abstract:
Several articles have looked at LASSO and adaptive LASSO methods in the context of predictive and cointegrating regressions in the econometrics literature in recent years. The results shown in this literature are derived in a so-called fixed-parameter framework which is known to come with certain limitations regarding the interpretability of the results for the actual performance of the estimator.
To better understand the behavior of the adaptive LASSO, we carry out a full analysis of the estimator in a predictive regression model with only one (endogenous) regressor. We provide insights to the model selection properties in connection with the tuning parameter sequence and extract the two different possible regimes, consistent and conservative model selection. For each regime, we look at convergence rates and asymptotic distributions in a so-called moving-parameter framework, and also work out the local-to-zero rates which still can be detected by the estimator. We find that in the consistently tuned case, the existing results from a fixed-parameter framework do not paint a realistic picture as overall convergence and local-to-zero rates are actually slower and limiting distributions differ. The discrepancies are less pronounced when looking at the conservatively tuned case. We finish our analysis with a simulation study examining the distribution of the estimator in finite samples.

Joint work in progress with Karsten Reichold (TU Wien).

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar