Factor vector autoregressive estimation: a new approach

In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (Implications of dynamic factor models for VAR analysis, NBER Working Paper, no. 11467, 2005), is introduced. In addition to sharing all the relevant features of the Stock–Watson approach, in its stati...

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Bibliographic Details
Published inJournal of Economic Interaction and Coordination Vol. 3; no. 1; pp. 15 - 23
Main Authors Bagliano, Fabio C., Morana, Claudio
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer-Verlag 01.06.2008
Springer
Springer Nature B.V
SeriesJournal of Economic Interaction and Coordination
Subjects
C32
Computer Appl. in Social and Behavioral Sciences
Economic models
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Factor vector autoregressive models
Finance
Large-scale macroeconometric models
Mathematical and Computational Physics
Regular Article
Studies
Theoretical
Large-scale macroeconometric models
Factor vector autoregressive models
C32
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Summary:In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (Implications of dynamic factor models for VAR analysis, NBER Working Paper, no. 11467, 2005), is introduced. In addition to sharing all the relevant features of the Stock–Watson approach, in its static formulation, the proposed method has the advantage of allowing for a more clear-cut interpretation of the global factors, as well as for the identification of all idiosyncratic shocks. An application to large-scale macroeconometric modelling is also provided.
ISSN:1860-711X
1860-7128
DOI:10.1007/s11403-008-0028-4