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Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
Pesaran, M. Hashem - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10013143234
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, M. Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10003973331
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Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
Pesaran, M. Hashem - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10013143880
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Infinite Dimensional VARs and Factor Models
Chudik, Alexander; Pesaran, M. Hashem - 2012
This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...
Persistent link: https://www.econbiz.de/10014219481
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Infinite-dimensional VARs and factor models
Chudik, Alexander; Pesaran, M. Hashem - 2009
This paper introduces a novel approach for dealing with the "curse of dimensionality" in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...
Persistent link: https://www.econbiz.de/10003831142
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Infinite Dimensional VARs and Factor Models
Chudik, Alexander; Pesaran, M. Hashem - 2021
This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...
Persistent link: https://www.econbiz.de/10013316638
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Large panel data models with cross-sectional dependence : a survey
Chudik, Alexander; Pesaran, M. Hashem - 2013
This paper provides an overview of the recent literature on estimation and inference in large panel data models with … cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with …-sectional dependence. It considers a number of alternative estimators for static and dynamic panel data models, distinguishing between …
Persistent link: https://www.econbiz.de/10009786037
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, Mohammad Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10010276270
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10011605240
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, M. Hashem; Chudik, Alexander - 2010
Persistent link: https://www.econbiz.de/10003981026