Factor vector autoregressive estimation: a new approach

被引：1

作者：

Bagliano, Fabio C. ^{[2
,3
]}

Morana, Claudio ^{[1
,4
]}

机构：

[1] Univ Piemonte Orientale, Dipartimento Sci Econ & Metodi Quantitat, Fac Econ, I-28100 Novara, Italy

[2] Univ Turin, Dipartimento Sci Econ & Finanziarie, Turin, Italy

[3] Coll Carlo Alberto, Moncalieri, Italy

[4] ICER, Turin, Italy

来源：

JOURNAL OF ECONOMIC INTERACTION AND COORDINATION | 2008年 / 3卷 / 01期

关键词：

Factor vector autoregressive models; Large-scale macroeconometric models;

D O I：

10.1007/s11403-008-0028-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (Implications of dynamic factor models for VAR analysis, NBER Working Paper, no. 11467, 2005), is introduced. In addition to sharing all the relevant features of the Stock-Watson approach, in its static formulation, the proposed method has the advantage of allowing for a more clear-cut interpretation of the global factors, as well as for the identification of all idiosyncratic shocks. An application to large-scale macroeconometric modelling is also provided.

引用

页码：15 / 23

页数：9

共 16 条

[1]

[Anonymous], 2005, WORK PAP, DOI DOI 10.3386/W11467

[2]

BAGLIANO FC, 2006, COLL C ALBERTO NOTEB, V32

[3] Inferential theory for factor models of large dimensions. [J].