Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers
高维关联度表估计：从部门溢出理解大缓和
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…