High-dimensional VARs with common factors

DOI10.1016/j.jeconom.2022.02.002OpenAlexW3048949762MaRDI QIDQ2688656

Liangjun Su, Ke Miao, Peter C. B. Phillips

Publication date: 3 March 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.02.002

zbMATH Keywords

connectednesscross-sectional dependencehigh-dimensional VARcommon factorsnuclear-norm regularizationinvestor fear

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

High-dimensional low-rank tensor autoregressive time series modeling ⋮ Panel data models with time-varying latent group structures

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Regularized estimation in sparse high-dimensional time series models
• The Adaptive Lasso and Its Oracle Properties
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• Oracle inequalities for high dimensional vector autoregressions
• Estimation of high-dimensional low-rank matrices
• Estimation of (near) low-rank matrices with noise and high-dimensional scaling
• Nuclear-norm penalization and optimal rates for noisy low-rank matrix completion
• Infinite-dimensional VARs and factor models
• Shrinkage estimation of dynamic panel data models with interactive fixed effects
• Profile-kernel likelihood inference with diverging number of parameters
• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
• Nonconcave penalized likelihood with a diverging number of parameters.
• Forecasting mortality rate improvements with a high-dimensional VAR
• On time-varying factor models: estimation and testing
• Rank regularized estimation of approximate factor models
• Generalized high-dimensional trace regression via nuclear norm regularization
• A two-sample test for high-dimensional data with applications to gene-set testing
• Simultaneous analysis of Lasso and Dantzig selector
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• Eigenvalue Ratio Test for the Number of Factors
• Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain
• SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES
• DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS
• Weak and strong cross‐section dependence and estimation of large panels
• Financial Network Systemic Risk Contributions
• High-Dimensional Probability
• Financial and Macroeconomic Connectedness
• A useful variant of the Davis–Kahan theorem for statisticians
• Panel Data Models With Interactive Fixed Effects
• Determining the Number of Factors in the General Dynamic Factor Model
• Nonlinear system theory: Another look at dependence
• Common risk factors in the returns on stocks and bonds
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• On the Statistical Treatment of Linear Stochastic Difference Equations
• A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers
• Performance bounds for parameter estimates of high-dimensional linear models with correlated errors

This page was built for publication: High-dimensional VARs with common factors