Estimating large-dimensional connectedness tables

Detalhes bibliográficos
Autor(a) principal: Brunner, Felix
Data de Publicação: 2023
Outros Autores: Hipp, Ruben
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/159534
Resumo: Publisher Copyright: Copyright © 2023 The Authors.
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spelling Estimating large-dimensional connectedness tablesThe great moderation through the lens of sectoral spilloversC32C52E23E27industrial productionnetworksshrinkageVAR modelsEconomics and EconometricsPublisher Copyright: Copyright © 2023 The Authors.We estimate sectoral spillovers around the Great Moderation with the help of forecast error variance decomposition tables. Obtaining such tables in high dimensions is challenging because they are functions of the estimated vector autoregressive coefficients and the residual covariance matrix. In a simulation study, we compare various regularization methods on both and conduct a comprehensive analysis of their performance. We show that standard estimators of large connectedness tables lead to biased results and high estimation uncertainty, both of which are mitigated by regularization. To explore possible causes for the Great Moderation, we apply a cross-validated estimator on sectoral spillovers of industrial production in the US from 1972 to 2019. We find that the spillover network has considerably weakened, which hints at structural change, for example, through improved inventory management, as a critical explanation for the Great Moderation.NOVA School of Business and Economics (NOVA SBE)RUNBrunner, FelixHipp, Ruben2023-11-03T22:11:27Z2023-072023-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article38application/pdfhttp://hdl.handle.net/10362/159534eng1759-7323PURE: 70293657https://doi.org/10.3982/QE1947info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:41:57Zoai:run.unl.pt:10362/159534Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:57:35.325416Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Estimating large-dimensional connectedness tables
The great moderation through the lens of sectoral spillovers
title Estimating large-dimensional connectedness tables
spellingShingle Estimating large-dimensional connectedness tables
Brunner, Felix
C32
C52
E23
E27
industrial production
networks
shrinkage
VAR models
Economics and Econometrics
title_short Estimating large-dimensional connectedness tables
title_full Estimating large-dimensional connectedness tables
title_fullStr Estimating large-dimensional connectedness tables
title_full_unstemmed Estimating large-dimensional connectedness tables
title_sort Estimating large-dimensional connectedness tables
author Brunner, Felix
author_facet Brunner, Felix
Hipp, Ruben
author_role author
author2 Hipp, Ruben
author2_role author
dc.contributor.none.fl_str_mv NOVA School of Business and Economics (NOVA SBE)
RUN
dc.contributor.author.fl_str_mv Brunner, Felix
Hipp, Ruben
dc.subject.por.fl_str_mv C32
C52
E23
E27
industrial production
networks
shrinkage
VAR models
Economics and Econometrics
topic C32
C52
E23
E27
industrial production
networks
shrinkage
VAR models
Economics and Econometrics
description Publisher Copyright: Copyright © 2023 The Authors.
publishDate 2023
dc.date.none.fl_str_mv 2023-11-03T22:11:27Z
2023-07
2023-07-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/159534
url http://hdl.handle.net/10362/159534
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1759-7323
PURE: 70293657
https://doi.org/10.3982/QE1947
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 38
application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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