Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit

DOI10.1080/07474938.2012.740374zbMath1491.62198OpenAlexW2171374298MaRDI QIDQ5080585

Alexander Chudik, M. Hashem Pesaran

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/153628

zbMATH Keywords

factor modelsspatial modelslarge panelsweak and strong cross-section dependencestar networksdominant unitsIVAR models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

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