Estimating Time-Varying Networks for High-Dimensional Time Series
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More about this item
Keywords
CLIME; Factor model; Granger causality; lasso; local linear smoothing; partial correlation; time-varying network; VAR;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-01-16 (Econometrics)
- NEP-ETS-2023-01-16 (Econometric Time Series)
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