@article{JMLR:v21:19-874,
  author  = {Jiahe Lin and George Michailidis},
  title   = {Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models},
  journal = {Journal of Machine Learning Research},
  year    = {2020},
  volume  = {21},
  number  = {117},
  pages   = {1--51},
  url     = {http://jmlr.org/papers/v21/19-874.html}
}