This repo is in support to the masters thesis "Tensor Methods in Econometrics" by Ivan Ricardo. Here, we discuss multiple tensor methods that have come up in the literature for the analysis of the Global VAR data set. The preprocessed data set can be found in the R package "TensorEconometrics". Additionally, we use other packages for our analysis such as rTensor, Tensor, TensorTS, and MultiwayRegression.
Below you will find a list of the analyses being performed:
- CP Decomposition
- Tucker Decomposition
- CP regression
- Tucker regression
- Reduced Rank Regression
- Matrix AR
- Matrix Factor Model