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factor-augmented model
factor-augmented model
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· papers mentioning both
vector autoregressive model
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regularized estimation
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commodity price
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macroeconomic indicator
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vector autoregression
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factor model
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high-dimensional data
(1)
high-dimensional estimation
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time series analysis
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Papers
Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models
JMLR 2020
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