Technical Appendix to Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models
| Year of publication: |
[2022]
|
|---|---|
| Authors: | Chao, John C. ; Swanson, Norman R. |
| Publisher: |
[S.l.] : SSRN |
| Subject: | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Schätzung | Estimation | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis |
| Description of contents: |
Proofs to lemmas and theorems used in Consistent Estimation, Variable Selection, and Forecasting in Factor-Augmented VAR Models by Chao and Swanson (2022) are gathered in this paper
|
freely available