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High-dimensional VARs with common factors

Published:2023-03 Issue:1 Volume:233 Page:155-183
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Miao Ke,Phillips Peter C.B.,Su Liangjun

Funder

University of Auckland

National Natural Science Foundation of China

National Science Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference77 articles.

1. Eigenvalue ratio test for the number of factors;Ahn;Econometrica,2013

2. Range-based estimation of stochastic volatility models;Alizadeh;J. Finance,2002

3. Inferential theory for factor models of large dimensions;Bai;Econometrica,2003

4. Panel data models with interactive fixed effects;Bai;Econometrica,2009

5. Determining the number of factors in approximate factor models;Bai;Econometrica,2002

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