Songqiao Tang

Zhejiang University

China

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Scholarly Papers (1)

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Estimation of Grouped Time-Varying Network Vector Autoregression Models

Number of pages: 62 Posted: 06 Apr 2024
Degui Li, Bin Peng, Songqiao Tang and Wei Biao Wu
University of York, Monash University - Department of Econometrics and Business Statistics, Zhejiang University and University of Chicago
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Citation 1

Abstract:

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cluster analysis, network VAR, latent groups, local linear estimator, time-varying coefficients