A simplified approach in FAVAR estimation
In the field of empirical macroeconomics factor-augmented vector autoregressive (FAVAR) models have become a popular tool in explaining how economic variables interact over time. FAVAR is based upon a data-reduction step using factor estimation, which are then employed in a vector autoregressive mod...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Statistiska institutionen
2018
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-353035 |