[datascience] Riccardo Faini CEIS Webinar - May 7th, 2021

["Gianluca Cubadda" < >]

Care/i,

vi segnalo questo webinar che Stephen Smeekes (Maastricht University) ci
darà il 7 maggio alle ore 16:00.

Cari saluti,

Gianluca

__________________

Title: 
Structured Regularization of High-Dimensional Panel Vector Autoregressions

Authors: 
Lenard Lieb, Stephan Smeekes and Mathias Staudigl

Abstract: 
We consider estimation of large panel vector autoregressions using
regularization techniques. Rather than relying on standard sparsity
assumptions which are not likely to be applicable in panel time series (for
example in macroeconomics), our regularization exploits structured sparsity
that exists naturally by similarity of the dynamics within and between
groups in the panel. Moreover, our estimation method endogenously provides a
measure of the strength of the (dynamic) interconnectedness between the
groups. We investigate the finite sample properties of our method in an
extensive simulation study, and apply our method to study the effects of
carbon taxes in European countries. For this purpose we also provide an
accompanying identification scheme that allows for structural analysis.