Implications of dynamic factor models for VAR analysis:
"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 bas...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11467 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "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. |
| Beschreibung: | 65 S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11467 | |
| 520 | 3 | |a "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. | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Econometric models | |
| 700 | 1 | |a Watson, Mark W. |d 1952- |e Verfasser |0 (DE-588)124571344 |4 aut | |
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Datensatz im Suchindex
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| id | DE-604.BV021273010 |
| illustrated | Illustrated |
| index_date | 2024-07-02T13:45:04Z |
| indexdate | 2024-07-09T20:34:24Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014594102 |
| oclc_num | 61153000 |
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| physical | 65 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Stock, James H. Verfasser (DE-588)12457131X aut Implications of dynamic factor models for VAR analysis James H. Stock ; Mark W. Watson Cambridge, Mass. National Bureau of Economic Research 2005 65 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11467 "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. Ökonometrisches Modell Econometric models Watson, Mark W. 1952- Verfasser (DE-588)124571344 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11467 (DE-604)BV002801238 11467 http://papers.nber.org/papers/w11467.pdf kostenfrei Volltext |
| spellingShingle | Stock, James H. Watson, Mark W. 1952- Implications of dynamic factor models for VAR analysis National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Econometric models |
| title | Implications of dynamic factor models for VAR analysis |
| title_auth | Implications of dynamic factor models for VAR analysis |
| title_exact_search | Implications of dynamic factor models for VAR analysis |
| title_exact_search_txtP | Implications of dynamic factor models for VAR analysis |
| title_full | Implications of dynamic factor models for VAR analysis James H. Stock ; Mark W. Watson |
| title_fullStr | Implications of dynamic factor models for VAR analysis James H. Stock ; Mark W. Watson |
| title_full_unstemmed | Implications of dynamic factor models for VAR analysis James H. Stock ; Mark W. Watson |
| title_short | Implications of dynamic factor models for VAR analysis |
| title_sort | implications of dynamic factor models for var analysis |
| topic | Ökonometrisches Modell Econometric models |
| topic_facet | Ökonometrisches Modell Econometric models |
| url | http://papers.nber.org/papers/w11467.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT stockjamesh implicationsofdynamicfactormodelsforvaranalysis AT watsonmarkw implicationsofdynamicfactormodelsforvaranalysis |