High-dimensional VARs with common factors
From MaRDI portal
Publication:2688656
Cites work
- A direct estimation of high dimensional stationary vector autoregressions
- A two-sample test for high-dimensional data with applications to gene-set testing
- A unified framework for high-dimensional analysis of M-estimators with decomposable regularizers
- A useful variant of the Davis-Kahan theorem for statisticians
- Adaptive Lasso for sparse high-dimensional regression models
- Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
- Common risk factors in the returns on stocks and bonds
- Determining the Number of Factors in Approximate Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Dynamic linear panel regression models with interactive fixed effects
- Eigenvalue ratio test for the number of factors
- Estimation of (near) low-rank matrices with noise and high-dimensional scaling
- Estimation of high-dimensional low-rank matrices
- Financial and macroeconomic connectedness. A network approach to measurement and monitoring
- Financial Network Systemic Risk Contributions
- Forecasting mortality rate improvements with a high-dimensional VAR
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- Generalized high-dimensional trace regression via nuclear norm regularization
- Generalized impulse response analysis in linear multivariate models
- High-dimensional probability. An introduction with applications in data science
- scientific article; zbMATH DE number 5957408 (Why is no real title available?)
- scientific article; zbMATH DE number 3605818 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 889593 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Impulse response analysis in nonlinear multivariate models
- Inferential Theory for Factor Models of Large Dimensions
- Infinite-dimensional VARs and factor models
- Nonconcave penalized likelihood with a diverging number of parameters.
- Nonlinear system theory: Another look at dependence
- Nuclear-norm penalization and optimal rates for noisy low-rank matrix completion
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- On the Statistical Treatment of Linear Stochastic Difference Equations
- On time-varying factor models: estimation and testing
- Oracle inequalities for high dimensional vector autoregressions
- Panel data models with interactive fixed effects
- Performance bounds for parameter estimates of high-dimensional linear models with correlated errors
- Profile-kernel likelihood inference with diverging number of parameters
- Rank regularized estimation of approximate factor models
- Regularized estimation in sparse high-dimensional time series models
- Shrinkage estimation of dynamic panel data models with interactive fixed effects
- Shrinkage estimation of regression models with multiple structural changes
- Simultaneous analysis of Lasso and Dantzig selector
- Sparse models and methods for optimal instruments with an application to eminent domain
- The Adaptive Lasso and Its Oracle Properties
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- Weak and strong cross-section dependence and estimation of large panels
Cited in
(16)- On the Correlation of Common Factors with Variance Not Accounted for by the Factor Model
- INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
- High-dimensional low-rank tensor autoregressive time series modeling
- Panel data models with time-varying latent group structures
- Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
- Performance of empirical risk minimization for linear regression with dependent data
- Nonparametric time-varying panel data models with heterogeneity
- Sieve estimation of state-varying factor models
- Estimating time-varying networks for high-dimensional time series
- Estimation of grouped time-varying network vector autoregressive models
- High-dimensional conditional factor model
- Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
- High-dimensional banded vector autoregressions subject to structural breaks
- Nuclear norm regularized estimation of panel regression models
- Order determination of large dimensional dynamic factor model
- Efficiency of QMLE for Dynamic Panel Data Models with Interactive Effects
This page was built for publication: High-dimensional VARs with common factors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2688656)
