Econometric analysis of high dimensional VARs featuring a dominant unit
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Publication:5080585
dominant unitsfactor modelsIVAR modelslarge panelsspatial modelsstar networksweak and strong cross-section dependence
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) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
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Cited in
(14)- Real exchange rates and the balance of trade: does the J-curve effect really hold?
- Technological leaders, laggards and spillovers: a network GVAR analysis
- Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
- Econometric analysis of production networks with dominant units
- Aggregation in large dynamic panels
- Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
- Detection of units with pervasive effects in large panel data models
- A multi-country approach to forecasting output growth using PMIs
- Econometric estimation with high-dimensional moment equalities
- ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM
- An Overview of Dependence in Cross-Section, Time-Series, and Panel Data
- Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures
- Sequential monitoring of high‐dimensional time series
- Infinite-dimensional VARs and factor models
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