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20142020
most citedHigh Dimensional Forecasting via Interpretable Vector Autoregression

38 citations · 61 across the 3 of their papers we have counts for

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stat.AP2015

VARX-L: Structured Regularization for Large Vector Autoregressions with Exogenous Variables

William Nicholson, David Matteson, Jacob Bien

The vector autoregression (VAR) has long proven to be an effective method for modeling the joint dynamics of macroeconomic time series as well as forecasting. A major shortcoming o…