Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
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DOI: 10.1016/j.jeconom.2023.105513
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More about this item
Keywords
High-dimensional time series; Sparse transition matrix; α-mixing; Latent Gaussian process; De-biasing inference; Kendall’s tau;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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