High-dimensional VARs with common factors
This paper studies high-dimensional vector autoregressions (VARs) augmented with common factors that allow for strong cross-sectional dependence. Models of this type provide a convenient mechanism for accommodating the interconnectedness and temporal co-variability that are often present in large di...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2695 https://ink.library.smu.edu.sg/context/soe_research/article/3694/viewcontent/d2252_0_PSV.pdf |
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| Institution: | Singapore Management University |
| Language: | English |