Sparse spatio-temporal autoregressions by profiling and bagging

DOI10.1016/j.jeconom.2020.10.010OpenAlexW3134641017MaRDI QIDQ2106397

Hansheng Wang, Yingying Ma, Shao-Jun Guo

Publication date: 14 December 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.10.010

zbMATH Keywords

coefficient matricesspatial panel dynamic modelsbagging-based estimatorsocial network data analysis

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data ⋮ High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process

Uses Software

• Arc_Mat

Cites Work

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