#2711. Detecting groups in large vector autoregressions

December 2026publication date
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Journal’s subject area:
Economics and Econometrics;
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Abstract:
The article presents a model of Stochastic Block Vector Autoregression (SB-VAR). The results show that in this class of vector autoregression, the time series are divided into hidden groups, so that side effects are more pronounced among the series belonging to the same group than in others.
Keywords:
Community detection; Forecasting; Random graphs; Spectral clustering; Time series; Vector autoregressions

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