fnets

Implements methods for network estimation and forecasting of high-dimensional time series exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model. See Barigozzi, Cho and Owens (2024+) doi:10.1080/07350015.2023.2257270 for further descriptions of FNETS methodology and Owens, Cho and Barigozzi (2024+) accompanying the R package.