Structural inference in sparse high-dimensional vector autoregressions
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DOI: 10.1016/j.jeconom.2022.01.003
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Cited by:
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- Eugene Dettaa & Endong Wang, 2024. "Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness," Papers 2410.04330, arXiv.org.
- Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
- Jonas Krampe & Luca Margaritella, 2024. "Global bank network connectedness revisited: What is common, idiosyncratic and when?," Papers 2402.02482, arXiv.org.
- Endong Wang, 2024. "Structural counterfactual analysis in macroeconomics: theory and inference," Papers 2409.09577, arXiv.org.
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Keywords
Bootstrap; De-sparsified estimator; Moving average representation; Sparse models; Inference; Impulse response; Forecast error variance decomposition;All these keywords.
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