This paper introduces a novel approach for dealing with the curse of dimensionality in thecase of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VARare proposed that are binding only in a limit as the number of endogenous variables tends toinfinity...

This paper introduces a novel approach for dealing with the ‘curse of dimensionality’ in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It...