Two-step estimation of a factor model in the presence of observable factors

被引：9

作者：

Hwang, Hae-shin ^{[1
]}

机构：

[1] Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA

来源：

ECONOMICS LETTERS | 2009年 / 105卷 / 03期

关键词：

Dynamic factor model; FAVAR; Observable factors; Two-step estimation; MONETARY-POLICY;

D O I：

10.1016/j.econlet.2009.08.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The dynamic factor model of Stock and Watson (2005) and the FAVAR model of Boivin (2009) include both observable and unobservable factors, and they estimate the model by using an iterative procedure. This paper presents a two-step procedure. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：247 / 249

页数：3

共 5 条

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Bernanke, BS ;

Boivin, J ;

Eliasz, P .

QUARTERLY JOURNAL OF ECONOMICS, 2005, 120 (01) :387-422

[3] Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data [J].

Boivin, Jean ;

Giannoni, Marc P. ;

Mihov, Ilian .

AMERICAN ECONOMIC REVIEW, 2009, 99 (01) :350-384

[4]

Graybill F. A., 1969, INTRO MATRICS APPL S

[5]

STOCK JH, 2005, W11467 NBER

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