Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach
Year of publication: |
2009-02-01
|
---|---|
Authors: | Bork, Lasse |
Institutions: | Ehrvervøkonomisk Institut, Institut for Økonomi |
Subject: | monetary policy | large cross-sections | factor-augmented vector autoregression | EM algorithm | state space |
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