High-dimensional VARs with common factors

DOI10.1016/J.JECONOM.2022.02.002OpenAlexW3048949762MaRDI QIDQ2688656FDOQ2688656

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

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

nuclear-norm regularizationcross-sectional dependenceconnectednesscommon factorshigh-dimensional VARinvestor fear

Mathematics Subject Classification ID

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

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Cited In (5)

• High-dimensional low-rank tensor autoregressive time series modeling
• Panel data models with time-varying latent group structures
• On the Correlation of Common Factors with Variance Not Accounted for by the Factor Model
• INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
• Scenario-based quantile connectedness of the U.S. interbank liquidity risk network

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