Structural inference in sparse high-dimensional vector autoregressions

DOI10.1016/j.jeconom.2022.01.003OpenAlexW3172317071MaRDI QIDQ2697986

Jonas Krampe, Efstathios Paparoditis, Carsten Trenkler

Publication date: 14 April 2023

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

Full work available at URL: https://arxiv.org/abs/2007.15535

zbMATH Keywords

bootstrapimpulse responsemoving average representationinferencesparse modelsforecast error variance decompositionde-sparsified estimator

Mathematics Subject Classification ID

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

Uses Software

• R
• FinCovRegularization
• PDSCE

Cites Work

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