Structural VAR and financial networks: A minimum distance approach to spatial modeling
结构VAR与金融网络：空间建模的最小距离方法
Summary In this paper, I interpret a time series spatial model (T‐SAR) as a constrained structural vector autoregressive (SVAR) model. Based on these restrictions, I propose a minimum distance approach to estimate the (row‐standardized) network matrix and the overall network influence parameter of the T‐SAR from the SVAR estimates. I also develop a Wald‐type test to assess the distance between these two models. To implement the methodology, I discuss machine learning methods…