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Factor vector autoregressive estimation: a new approach

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  • Fabio Bagliano
  • Claudio Morana

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Abstract

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File URL: http://hdl.handle.net/10.1007/s11403-008-0028-4
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Bibliographic Info

Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

Volume (Year): 3 (2008)
Issue (Month): 1 (June)
Pages: 15-23

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Handle: RePEc:spr:jeicoo:v:3:y:2008:i:1:p:15-23

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Web page: http://www.springer.com/economics/economic+theory/journal/11403

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Related research

Keywords: Factor vector autoregressive models; Large-scale macroeconometric models; C32;

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References

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  1. Massimiliano Marcellino & Carlo A. Favero & Francesca Neglia, 2005. "Principal components at work: the empirical analysis of monetary policy with large data sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(5), pages 603-620.
  2. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  3. Jushan Bai & Serena Ng, 2001. "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 469, The Johns Hopkins University,Department of Economics.
  4. Bagliano, Fabio C. & Morana, Claudio, 2009. "International macroeconomic dynamics: A factor vector autoregressive approach," Economic Modelling, Elsevier, Elsevier, vol. 26(2), pages 432-444, March.
  5. Carlo A. Favero & Massimiliano Marcellino, . "Large Datasets, Small Models and Monetary Policy in Europe," Working Papers 208, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000. "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository 2013/10143, ULB -- Universite Libre de Bruxelles.
  7. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, Econometric Society, vol. 71(1), pages 135-171, January.
  8. Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
  9. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2004-03, Board of Governors of the Federal Reserve System (U.S.).
  10. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2002. "Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3550, C.E.P.R. Discussion Papers.
  11. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(3), pages 525-546, April.
  12. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. Bagliano, Fabio C. & Morana, Claudio, 2012. "The Great Recession: US dynamics and spillovers to the world economy," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(1), pages 1-13.
  2. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research 14-2008, ICER - International Centre for Economic Research.
  3. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research 36-2010, ICER - International Centre for Economic Research.
  4. Beltratti, Andrea & Morana, Claudio, 2010. "International house prices and macroeconomic fluctuations," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(3), pages 533-545, March.

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