Now showing items 5-5 of 5

    • Infinite Dimensional VARs and Factor Models 

      Chudik, Alexander; Pesaran, M. Hashem (Faculty of Economics, 2007-11)
      This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only ...