Book/Printed Material Implications of dynamic factor models for var analysis

Title

• Implications of dynamic factor models for var analysis

Summary

• "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.

Names

• Stock, James H.
• Watson, Mark W.
• National Bureau of Economic Research

Created / Published

• Cambridge, MA : National Bureau of Economic Research, c2005.

Headings

• -  Risk assessment--Mathematical models
• -  Statics and dynamics (Social sciences)
• -  Time-series analysis

Notes

• -  Title from PDF file as viewed on 7/6/2005.
• -  Includes bibliographical references.
• -  Also available in print.
• -  Mode of access: World Wide Web.
• -  System requirements: Adobe Acrobat Reader.

Call Number/Physical Location

• HB1

Digital Id

• https://hdl.loc.gov/loc.gdc/gdcebookspublic.2005618352
• http://papers.nber.org/papers/W11467 External

Library of Congress Control Number

• 2005618352

Access Advisory

• Unrestricted online access

Online Format

• image
• pdf

LCCN Permalink

• https://lccn.loc.gov/2005618352

Additional Metadata Formats

• MARCXML Record
• MODS Record
• Dublin Core Record