Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions
This paper establishes new asymptotic results for the adaptive LASSO estimator in cointegrating regression models. We study model selection probabilities, estimator consistency, and limiting distributions under both standard and moving-parameter asymptotics. We also derive uniform convergence rates and the fastest local-to-zero rates that can still be detected by the estimator, complementing and extending the results of Lee, Shi, and Gao (2022, Journal of Econometrics, 229, 322--349). Our main …
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