Nets: network estimation for time series
Matteo Barigozzi and
Christian T. Brownlees
LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library
We model a large panel of time series as a var where the autoregressive matrices and the inverse covariance matrix of the system innovations are assumed to be sparse. The system has a network representation in terms of a directed graph representing predictive Granger relations and an undirected graph representing contemporaneous partial correlations. A lasso algorithm called nets is introduced to estimate the model. We apply the methodology to analyse a panel of volatility measures of ninety bluechips. The model captures an important fraction of total variability, on top of what is explained by volatility factors, and improves out-of-sample forecasting.
Keywords: networks; multivariate time series; var; lasso; forecasting (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-net and nep-ore
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Published in Journal of Applied Econometrics, 5, December, 2018. ISSN: 1099-1255
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http://eprints.lse.ac.uk/90493/ Open access version. (application/pdf)
Journal Article: NETS: Network estimation for time series (2019)
Working Paper: Nets: Network Estimation for Time Series (2013)
Working Paper: Nets: Network estimation for time series (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:90493
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