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macroeconomic indicator

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vector autoregressive model (1) factor-augmented model (1) regularized estimation (1) commodity price (1) vector autoregression (1) factor model (1) high-dimensional data (1) high-dimensional estimation (1) time series analysis (1)

Papers

Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models JMLR 2020