Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
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- Alexander Chudik & M. Hashem Pesaran, 2013. "Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 592-649, August.
- Pesaran, Hashem & Chudik, Alexander, 2010. "Econometric analysis of high dimensional VARs featuring a dominant unit," Working Paper Series 1194, European Central Bank.
- Pesaran, M.H. & Chudik, A., 2010. "Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit," Cambridge Working Papers in Economics 1024, Faculty of Economics, University of Cambridge.
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More about this item
Keywords
IVAR models; dominant units; large panels; weak and strong cross section dependence; factor models;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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