- Publisher: Al-Qadisiyah Journal for Administrative and Economic Sciences
- Available in: PDF
- DOI: 10.33961/21.1.2019
- Published: May 23, 2021
Comparison of some penalized methods in time series models
Tahir R. Dikheel Alaa Q. Yaseen
Department of Statistics,
College of Administration and Economics, University of Al-Qadisiyah, Iraq.
|Corresponding Author: Tahir R. Dikheel
Alaa Q. Yaseen
|Abstract : In this paper , the lag weighted lasso (lwlasso) is compared with lasso and alasso to deal with effect of
lag in linear time series models. The lwlasso methods are more stable than the other methods in the comparison.
Consequently, lag weighted lasso methods are capable to dealing with lag effect . In particular, the lag weighted
lasso methods with w^R2 and w^R3 weights gave the best results compared with the other methods.