Events and Meetings of Italian Statistical Society, Advances in Latent Variables - Methods, Models and Applications

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Network estimation in econometrics
Matteo Barigozzi, Christian Brownlees

Last modified: 2013-06-14

Abstract


This work proposes novel network analysis techniques for time series. We define the network of a multivariate time series as an undirected graph where nodes denote the components of the process and edges denote nonzero long run partial correlation between two components. Long run partial correlation is a comprehensive measure of cross-sectional conditional dependence for time series capturing contemporaneous as well as lead/lag relations. The procedure is based on a two step LASSO regression of the VAR approximation of the process.

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