Structural inference in sparse high-dimensional vector autoregressions
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Publication:2697986
DOI10.1016/j.jeconom.2022.01.003MaRDI QIDQ2697986
Efstathios Paparoditis, Carsten Trenkler, Jonas Krampe
Publication date: 14 April 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.15535
bootstrap; impulse response; moving average representation; inference; sparse models; forecast error variance decomposition; de-sparsified estimator
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