Implications of dynamic factor models for VAR analysis
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Author
Contributions
- Watson, Mark W. - Contributor
- National Bureau of Economic Research. - Contributor
Publication
2005 - National Bureau of Economic Research, Cambridge, Mass, Massachusetts
Language
English
Word Count
16,250 words, Guess
Page Count
65 pages
Identifiers
- OCLC Control Number61153000
- Open LibraryOL17626962M
Description
"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"--National Bureau of Economic Research web site.
Subjects
Series Statement
- NBER working paper series -- no. 11467.
- Working paper series (National Bureau of Economic Research) -- working paper no. 11467.
Links
Other Editions
- Implications of dynamic factor models for VAR analysis
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