Extended Yule-Walker Estimation and Principal Components Variance Decomposition of a Many-Variable VAR Model to a Few-Factor VARMA Model: Applied to U.S. Macro Data
| Year of publication: |
2003-08-01
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| Authors: | Chen, Baoline ; Zadrozny, Peter A. |
| Institutions: | Society for Computational Economics - SCE |
| Keywords: | dynamic factor decomposition of multiple time series |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 123 |
| Classification: | C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E32 - Business Fluctuations; Cycles |
| Source: |
Persistent link: https://www.econbiz.de/10005706796