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Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks

Listed author(s):
  • Claudio Morana

In the paper a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common deterministic and stochastic factors. Monte Carlo results strongly support the proposed methodology, validating its use also for relatively small cross-sectional and temporal samples.

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File URL: http://dems.unimib.it/repec/pdf/mibwpaper273.pdf
File Function: First version, 2014
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Paper provided by University of Milano-Bicocca, Department of Economics in its series Working Papers with number 273.

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Length: 56
Date of creation: May 2014
Date of revision: May 2014
Handle: RePEc:mib:wpaper:273
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