StarTime applies a temporal tree to enable sparse or aggregated coefficient selection in high-order autoregressions and mixed-frequency regressions, with new error bounds and better simulation performance than benchmarks.
A comparison of MIDAS and bridge equations
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Sparse Tree-Based Aggregation for Time Series Regressions
StarTime applies a temporal tree to enable sparse or aggregated coefficient selection in high-order autoregressions and mixed-frequency regressions, with new error bounds and better simulation performance than benchmarks.