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Journal Publication

High-Dimensional VARs with Common Factors

Ke Miao, Peter C.B. Phillips, Liangjun Su,
High-dimensional VARs with common factors,
Journal of Econometrics, Volume 233, Issue 1, 2023,
Pages 155-183, ISSN 0304-4076,
https://doi.org/10.1016/j.jeconom.2022.02.002.