common.irf.estimation

<p>Blockwise VAR estimation under GDFM</p>

internal

Implements methods for network estimation and forecasting of high-dimensional time series
exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model.
See Barigozzi, Cho and Owens (2024+) <doi:10.1080/07350015.2023.2257270> for further descriptions of FNETS methodology and
Owens, Cho and Barigozzi (2024+) <arXiv:2301.11675> accompanying the R package.

Haeran Cho

fnets

Factor-Adjusted Network Estimation and Forecasting for
High-Dimensional Time Series

Matteo Barigozzi

Dom Owens

common.irf.estimation function

Blockwise VAR estimation under GDFM — common.irf.estimation

Blockwise VAR estimation under GDFM

common.irf.estimation: Blockwise VAR estimation under GDFM

Description

Usage

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