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Implications of Dynamic Factor Models for VAR Analysis
Open accessAbstract
This paper considers VAR models incorporating many time series that interact through a few dynamic factors.Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR.Structural VAR identification based on timing restrictions, long run restrictions, and restrictions on factor loadings are discussed and practical computational methods suggested.Empirical analysis using U.S. data suggest several (7) dynamic factors, rejection of the exact dynamic factor model but support for an approximate factor model, and sensible results for a SVAR that identifies money policy shocks using timing restrictions.
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Cited by
Macro Factors in Bond Risk Premia
Ludvigson, S. C., & Ng, S. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp081 · Cited by 1,042
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
Fan, J., Liao, Y., & Mincheva, M. (2013) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/rssb.12016 · Cited by 909
High dimensional covariance matrix estimation using a factor model
Fan, J., Fan, Y., & Lv, J. (2008) · Journal of Econometrics · doi:10.1016/j.jeconom.2008.09.017 · Cited by 685
De Mol, C., Giannone, D., & Reichlin, L. (2008) · Journal of Econometrics · doi:10.1016/j.jeconom.2008.08.011 · Cited by 518
Stock, J. H., & Watson, M. W. (2012) · The Oxford Handbook of Economic Forecasting · doi:10.1093/oxfordhb/9780195398649.013.0003 · Cited by 374
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Metadata
- Authors
- Stock, J., & Watson, M.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 2005-07
- OpenAlex
- W2152481464
- Cited by
- 860
- References
- 0
- Type
- report
- Language
- en
- Open access
- green
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