Infinite-dimensional VARs and factor models
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Cites work
- scientific article; zbMATH DE number 3605818 (Why is no real title available?)
- scientific article; zbMATH DE number 1911755 (Why is no real title available?)
- scientific article; zbMATH DE number 970673 (Why is no real title available?)
- A simple approach to arbitrage pricing theory
- A spatio-temporal model of house prices in the USA
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Forecasting and conditional projection using realistic prior distributions
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- GMM estimation with cross sectional dependence
- Global and National Macroeconometric Modelling
- ON STATIONARY PROCESSES IN THE PLANE
- Tests of Conditional Predictive Ability
- The elements of statistical learning. Data mining, inference, and prediction
- The generalized dynamic factor model consistency and rates
- Weak and strong cross-section dependence and estimation of large panels
Cited in
(29)- Consistent factor estimation in dynamic factor models with structural instability
- Consistent noisy independent component analysis
- Did financial factors matter during the Great Recession?
- Identifying common and idiosyncratic explosive behaviors in the large dimensional factor model with an application to U.S. state-level house prices
- Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance
- Generalized infinite factorization models
- Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models
- Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
- A multi-country approach to forecasting output growth using PMIs
- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
- Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
- Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
- Size, openness, and macroeconomic interdependence
- On the statistical identification of DSGE models
- We modeled long memory with just one lag!
- Debt dynamics in Europe: a network general equilibrium GVAR approach
- A nonlinear panel data model of cross-sectional dependence
- Estimation of autocovariance matrices for infinite dimensional vector linear process
- Regularized estimation in sparse high-dimensional time series models
- Econometric analysis of high dimensional VARs featuring a dominant unit
- Aggregation in large dynamic panels
- On bootstrapping panel factor series
- Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
- High-dimensional VARs with common factors
- Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator
- Uniform change point tests in high dimension
- Technological leaders, laggards and spillovers: a network GVAR analysis
- scientific article; zbMATH DE number 7307121 (Why is no real title available?)
- Penalized least squares estimation with weakly dependent data
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