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Researcher profile

Ines Wilms

Ines Wilms contributes to research discovery and scholarly infrastructure.

ResearcherAffiliation not importedOpen to collaborate
econ.EMMethodologyComputationMachine LearningApplicationsecon.GNmath.STq-fin.ECStatistics Theory

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Published work

8 published item(s)

preprint2026arXiv

FoReco and FoRecoML: A Unified Toolbox for Forecast Reconciliation in R

Forecast reconciliation has become key to improving the accuracy and coherence of forecasts for linearly constrained multiple time series, such as hierarchical and grouped series. Yet, comprehensive software that jointly covers cross-sectional, temporal, and cross-temporal reconciliation has so far been lacking. The R packages FoReco and FoRecoML address this gap by offering a comprehensive and unified framework. The packages respectively implement classical and regression-based linear reconciliation approaches, and non-linear approaches based on machine learning for cross-sectional, temporal and cross-temporal frameworks. Designed for accessibility and flexibility, these packages provide sensible default options that allow new users to apply reconciliation methods with minimal effort, while still giving expert users full control to explore state-of-the-art extensions through customized settings. With this dual focus, FoReco and FoRecoML are versatile tools for practitioners and researchers working on forecast reconciliation.

0 citations0 reviewsNo code linkedOpen access
preprint2022arXiv

bootUR: An R Package for Bootstrap Unit Root Tests

Unit root tests form an essential part of any time series analysis. We provide practitioners with a single, unified framework for comprehensive and reliable unit root testing in the R package bootUR.The package's backbone is the popular augmented Dickey-Fuller test paired with a union of rejections principle, which can be performed directly on single time series or multiple (including panel) time series. Accurate inference is ensured through the use of bootstrap methods. The package addresses the needs of both novice users, by providing user-friendly and easy-to-implement functions with sensible default options, as well as expert users, by giving full user-control to adjust the tests to one's desired settings. Our parallelized C++ implementation ensures that all unit root tests are scalable to datasets containing many time series.

0 citations0 reviewsNo code linkedOpen access
preprint2022arXiv

Detecting Anti-dumping Circumvention: A Network Approach

Despite the increasing integration of the global economic system, anti-dumping measures are a common tool used by governments to protect their national economy. In this paper, we propose a methodology to detect cases of anti-dumping circumvention through re-routing trade via a third country. Based on the observed full network of trade flows, we propose a measure to proxy the evasion of an anti-dumping duty for a subset of trade flows directed to the European Union, and look for possible cases of circumvention of an active anti-dumping duty. Using panel regression, we are able correctly classify 86% of the trade flows, on which an investigation of anti-dumping circumvention has been opened by the European authorities.

0 citations0 reviewsNo code linkedOpen access
preprint2022arXiv

Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions

Mixed-frequency Vector AutoRegressions (MF-VAR) model the dynamics between variables recorded at different frequencies. However, as the number of series and high-frequency observations per low-frequency period grow, MF-VARs suffer from the "curse of dimensionality". We curb this curse through a regularizer that permits hierarchical sparsity patterns by prioritizing the inclusion of coefficients according to the recency of the information they contain. Additionally, we investigate the presence of nowcasting relations by sparsely estimating the MF-VAR error covariance matrix. We study predictive Granger causality relations in a MF-VAR for the U.S. economy and construct a coincident indicator of GDP growth. Supplementary Materials for this article are available online.

0 citations0 reviewsNo code linkedOpen access
preprint2022arXiv

Lasso Inference for High-Dimensional Time Series

In this paper we develop valid inference for high-dimensional time series. We extend the desparsified lasso to a time series setting under Near-Epoch Dependence (NED) assumptions allowing for non-Gaussian, serially correlated and heteroskedastic processes, where the number of regressors can possibly grow faster than the time dimension. We first derive an error bound under weak sparsity, which, coupled with the NED assumption, means this inequality can also be applied to the (inherently misspecified) nodewise regressions performed in the desparsified lasso. This allows us to establish the uniform asymptotic normality of the desparsified lasso under general conditions, including for inference on parameters of increasing dimensions. Additionally, we show consistency of a long-run variance estimator, thus providing a complete set of tools for performing inference in high-dimensional linear time series models. Finally, we perform a simulation exercise to demonstrate the small sample properties of the desparsified lasso in common time series settings.

0 citations0 reviewsNo code linkedOpen access
preprint2022arXiv

Regularized Predictive Models for Beef Eating Quality of Individual Meals

Faced with changing markets and evolving consumer demands, beef industries are investing in grading systems to maximise value extraction throughout their entire supply chain. The Meat Standards Australia (MSA) system is a customer-oriented total quality management system that stands out internationally by predicting quality grades of specific muscles processed by a designated cooking method. The model currently underpinning the MSA system requires laborious effort to estimate and its prediction performance may be less accurate in the presence of unbalanced data sets where many "muscle x cook" combinations have few observations and/or few predictors of palatability are available. This paper proposes a novel predictive method for beef eating quality that bridges a spectrum of muscle x cook-specific models. At one extreme, each muscle x cook combination is modelled independently; at the other extreme a pooled predictive model is obtained across all muscle x cook combinations. Via a data-driven regularization method, we cover all muscle x cook-specific models along this spectrum. We demonstrate that the proposed predictive method attains considerable accuracy improvements relative to independent or pooled approaches on unique MSA data sets.

0 citations0 reviewsNo code linkedOpen access
preprint2021arXiv

Tree-based Node Aggregation in Sparse Graphical Models

High-dimensional graphical models are often estimated using regularization that is aimed at reducing the number of edges in a network. In this work, we show how even simpler networks can be produced by aggregating the nodes of the graphical model. We develop a new convex regularized method, called the tree-aggregated graphical lasso or tag-lasso, that estimates graphical models that are both edge-sparse and node-aggregated. The aggregation is performed in a data-driven fashion by leveraging side information in the form of a tree that encodes node similarity and facilitates the interpretation of the resulting aggregated nodes. We provide an efficient implementation of the tag-lasso by using the locally adaptive alternating direction method of multipliers and illustrate our proposal's practical advantages in simulation and in applications in finance and biology.

0 citations0 reviewsNo code linkedOpen access
preprint2020arXiv

High Dimensional Forecasting via Interpretable Vector Autoregression

Vector autoregression (VAR) is a fundamental tool for modeling multivariate time series. However, as the number of component series is increased, the VAR model becomes overparameterized. Several authors have addressed this issue by incorporating regularized approaches, such as the lasso in VAR estimation. Traditional approaches address overparameterization by selecting a low lag order, based on the assumption of short range dependence, assuming that a universal lag order applies to all components. Such an approach constrains the relationship between the components and impedes forecast performance. The lasso-based approaches work much better in high-dimensional situations but do not incorporate the notion of lag order selection. We propose a new class of hierarchical lag structures (HLag) that embed the notion of lag selection into a convex regularizer. The key modeling tool is a group lasso with nested groups which guarantees that the sparsity pattern of lag coefficients honors the VAR's ordered structure. The HLag framework offers three structures, which allow for varying levels of flexibility. A simulation study demonstrates improved performance in forecasting and lag order selection over previous approaches, and a macroeconomic application further highlights forecasting improvements as well as HLag's convenient, interpretable output.

0 citations0 reviewsNo code linkedOpen access