2 papers
econ.EM2020
Dimension Reduction for High Dimensional Vector Autoregressive Models
Gianluca Cubadda, Alain Hecq
This paper aims to decompose a large dimensional vector autoregessive (VAR) model into two components, the first one being generated by a small-scale VAR and the second one being a…
econ.EM2019
Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure
Alain Hecq, Luca Margaritella, Stephan Smeekes
We develop an LM test for Granger causality in high-dimensional VAR models based on penalized least squares estimations. To obtain a test retaining the appropriate size after the v…