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Dimension Reduction for High‐Dimensional Vector Autoregressive Models*

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Testing for common autocorrelation in data-rich environments

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COMMON TRENDS AND COMMON CYCLES

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Forecasting large datasets with Bayesian reduced rank multivariate models

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The Global Component of Inflation Volatility

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New Introduction to Multiple Time Series Analysis

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When is an aggregate of a time series efficiently forecast by its past?

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Linear transformations of vector ARMA processes

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Forecasting with Bayesian Vector Autoregression

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Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics

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A unifying framework for analysing common cyclical features in cointegrated time series

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Subset selection for vector autoregressive processes using Lasso

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Macroeconomic Forecasting and Structural Analysis Through Regularized Reduced-Rank Regression

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Forecasting using sparse cointegration

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A Vector Heterogeneous Autoregressive Index Model for Realized Volatility Measures

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Macroeconomic forecasting using penalized regression methods

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Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model

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Common cyclical features analysis in VAR models with cointegration

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Are more data always better for factor analysis?

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Studying co-movements in large multivariate data prior to multivariate modelling

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Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

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Variable selection, estimation and inference for multi-period forecasting problems

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Oracle inequalities for high dimensional vector autoregressions

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Structural analysis with Multivariate Autoregressive Index models

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Testing for Granger causality in large mixed-frequency VARs

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News shocks and business cycles

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On non-contemporaneous short-run co-movements

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Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series

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THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION

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OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS

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DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER

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Nested Reduced-Rank Autoregressive Models for Multiple Time Series

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Inference of Vector Autoregressive Models With Cointegration and Scalar Components

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Identifying Cointegration by Eigenanalysis

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Forecasting Contemporaneously Aggregated Vector ARMA Processes

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Modeling Multivariate Volatilities via Latent Common Factors

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Sparse Vector Autoregressive Modeling

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Time-Domain Approach in High-Dimensional Dynamic Factor Models

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Frequency-Domain Approach in High-Dimensional Dynamic Factor Models

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Reduced Rank Regression Models in Economics and Finance

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Some Results on Multivariate Autoregressive Index Models

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Reduced Rank Models for Multiple Time Series

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Estimation of latent factors for high-dimensional time series

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Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure

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Maximum-Likelihood Estimation Using the Zig-Zag Algorithm

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Dynamic Factor Models

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A Comparison of Sequential and Information‐based Methods for Determining the Co‐integration Rank in Heteroskedastic VAR Models

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Time Series

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Econometric Analysis of Large Factor Models

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Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach

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A Flexible Finite-Horizon Alternative to Long-Run Restrictions with an Application to Technology Shocks

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The Distribution of Realized Exchange Rate Volatility

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Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches

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Order determination in general vector autoregressions

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Factor modeling for high-dimensional time series: Inference for the number of factors

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Identifying the number of factors from singular values of a large sample auto-covariance matrix

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Principal component analysis for second-order stationary vector time series

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Business-Cycle Anatomy

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A Comparison of Methods for Estimating the Determinant of High-Dimensional Covariance Matrix

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Bayesian Methods for Empirical Macroeconomics with Big Data

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FRED-QD: A Quarterly Database for Macroeconomic Research

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Large Bayesian VARs

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Testing for Common Features

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A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models

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Macroeconomics and Reality

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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

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A Quarterly, Utilization-Adjusted Series on Total Factor Productivity

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Solution and Estimation Methods for DSGE Models

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FRED-QD: A Quarterly Database for Macroeconomic Research

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Common Feature Analysis of Economic Time Series: An Overview and Recent Developments

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Reduced-Rank Envelope Vector Autoregressive Model

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Time-Varying Model Averaging for FAVAR Models with Smooth Structural Changes

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The vector error correction index model: representation, estimation and identification

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Reduced-Rank Network Autoregression with Grouped Edge Effects

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Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models

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VAR Models with an Index Structure: A Survey with New Results

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Surrogate Data Models: Interpreting Large-scale Machine Learning Crisis Prediction Models

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