The more the merrier? On the performance of factor-augmented models
Vector autoregression (VAR) models are widely used in an attempt to identify and measure the effect of monetary policy shocks on an economy and to forecast economic times series. However, the sparse information sets used in the VAR approach have been subject to criticism and in recent decades, the u...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256760 |