Barigozzi, Matteo; Brownlees, Christian T. - Department of Economics and Business, Universitat … - 2013
multivariate time series as a graph where vertices denote the components of the process and edges denote non zero long run partial … correlations. We then introduce a two step LASSO procedure, called NETS, to estimate high dimensional sparse Long Run Partial … Correlation networks. This approach is based on a VAR approximation of the process and allows to decompose the long run linkages …