#2560. Detecting groups in large vector autoregressions

November 2026publication date
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4 total number of authors per manuscript3510 $

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Journal’s subject area:
Economics and Econometrics;
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Abstract:
The article analyzes a model of stochastic block-vector autoregression (SB-VAR). A group detection algorithm based on the eigenvectors of the function of the estimated autoregressive matrices is proposed. It was found that the proposed algorithm sequentially detects groups when the dimension of the cross section and the time series is large enough.
Keywords:
Community detection; Forecasting; Random graphs; Spectral clustering; Time series; Vector autoregressions

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