Introduces Net-LSW framework for multiscale time-varying dependence modeling on networks, with local partial correlation graphs and consistent estimation for nonstationary processes.
Generalized impulse response analysis in linear multivariate models
2 Pith papers cite this work. Polarity classification is still indexing.
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2026 2verdicts
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Develops consistent procedures and an efficient alternating least squares algorithm for determining the number of dynamic factors and filter length in dynamic factor models, applied to US macroeconomic time series.
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Determining the Structure of Dynamic Factor Models
Develops consistent procedures and an efficient alternating least squares algorithm for determining the number of dynamic factors and filter length in dynamic factor models, applied to US macroeconomic time series.