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Found 2 papers, 2 papers with code
A VAE-based Framework for Learning Multi-Level Neural Granger-Causal Connectivity
Granger causality has been widely used in various application domains to capture lead-lag relationships amongst the components of complex dynamical systems, and the focus in extant literature has been on a single dynamical system.
Regularized Estimation of High-dimensional Factor-Augmented Autoregressive (FAVAR) Models
A factor-augmented vector autoregressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations amongst a set of observed variables $X$ and latent factors $F$, and a calibration equation that relates another set of observed variables $Y$ with $F$ and $X$.
Methodology Econometrics
