Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances
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More about this item
Keywordsdynamic casual effect; factor-augmented vector autoregression; identification through heteroskedasticity; impulse response;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2018-08-27 (All new papers)
- NEP-ECM-2018-08-27 (Econometrics)
- NEP-INT-2018-08-27 (International Trade)
- NEP-ORE-2018-08-27 (Operations Research)
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