Confidence intervals for parameters in high-dimensional sparse vector autoregression (2009.09462v1)

Abstract: Vector autoregression (VAR) models are widely used to analyze the interrelationship between multiple variables over time. Estimation and inference for the transition matrices of VAR models are crucial for practitioners to make decisions in fields such as economics and finance. However, when the number of variables is larger than the sample size, it remains a challenge to perform statistical inference of the model parameters. In this article, we propose the de-biased Lasso and two bootstrap de-biased Lasso methods to construct confidence intervals for the elements of the transition matrices of high-dimensional VAR models. We show that the proposed methods are asymptotically valid under appropriate sparsity and other regularity conditions. To implement our methods, we develop feasible and parallelizable algorithms, which save a large amount of computation required by the nodewise Lasso and bootstrap. A simulation study illustrates that our methods perform well in finite samples. Finally, we apply our methods to analyze the price data of stocks in the S&P 500 index in 2019. We find that some stocks, such as the largest producer of gold in the world, Newmont Corporation, have significant predictive power over the most stocks.