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Replication material for: Oracle Efficient estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions.

Laurent Callot, Anders B. Kock

Author: Laurent Callot ([email protected])

Date: 19/11/2014

Disclaimer: this is old and somewhat ugly code.

This repository contains the replication material for Oracle Efficient estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions. All the computations are carried using R.

  1. SerenaDat contains a data frame with the transformed data ready for analysis. Read them with read.table().
  2. fcNg-2.R is the main file estimating the models and producing the plots and tables in the paper.
  3. The remaining files contain functions called by fcNg-2.R.

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