Regularized estimation of high-dimensional factor-augmented vector autoregressive (favar) models

被引：0
|
作者：
Lin, Jiahe [1 ]
Michailidis, George [2 ]
机构：
[1] Lin, Jiahe
[2] Michailidis, George
来源：
| 1600年 / Microtome Publishing卷 / 21期
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
相关论文
共 50 条
  • [21] Measuring the effects of monetary policy in Pakistan: a factor-augmented vector autoregressive approach
    Kashif Munir
    Abdul Qayyum
    Empirical Economics, 2014, 46 : 843 - 864
  • [22] Regularized joint estimation of related vector autoregressive models
    Skripnikov, A.
    Michailidis, G.
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2019, 139 : 164 - 177
  • [23] Measuring the effects of monetary policy in Pakistan: a factor-augmented vector autoregressive approach
    Munir, Kashif
    Qayyum, Abdul
    EMPIRICAL ECONOMICS, 2014, 46 (03) : 843 - 864
  • [24] Variable selection and estimation for high-dimensional spatial autoregressive models
    Cai, Liqian
    Maiti, Tapabrata
    SCANDINAVIAN JOURNAL OF STATISTICS, 2020, 47 (02) : 587 - 607
  • [25] Flexible regularized estimation in high-dimensional mixed membership models
    Marco, Nicholas
    Senturk, Damla
    Jeste, Shafali
    Distefano, Charlotte C.
    Dickinson, Abigail
    Telesca, Donatello
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2024, 194
  • [26] Regularized Parameter Estimation in High-Dimensional Gaussian Mixture Models
    Ruan, Lingyan
    Yuan, Ming
    Zou, Hui
    NEURAL COMPUTATION, 2011, 23 (06) : 1605 - 1622
  • [27] REGULARIZED ESTIMATION IN SPARSE HIGH-DIMENSIONAL TIME SERIES MODELS
    Basu, Sumanta
    Michailidis, George
    ANNALS OF STATISTICS, 2015, 43 (04): : 1535 - 1567
  • [28] Regularized estimation of high-dimensional vector autoregressions with weakly dependent innovations
    Masini, Ricardo P.
    Medeiros, Marcelo C.
    Mendes, Eduardo F.
    JOURNAL OF TIME SERIES ANALYSIS, 2022, 43 (04) : 532 - 557
  • [29] Are the macroeconomic effects of oil price shock symmetric?: A Factor-Augmented Vector Autoregressive approach
    An, Lian
    Jin, Xiaoze
    Ren, Xiaomei
    ENERGY ECONOMICS, 2014, 45 : 217 - 228
  • [30] EXCHANGE RATE AND US MACROECONOMY: EVIDENCE FROM THE FACTOR-AUGMENTED VECTOR AUTOREGRESSIVE MODEL
    An, Lian
    Ren, Xiaomei
    Li, Huimin
    Xu, Jing
    SINGAPORE ECONOMIC REVIEW, 2017, 62 (02): : 483 - 508
12345