Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors
Matteo Barigozzi, Marco Lippi, Matteo Luciani
| Year of publication: |
2021
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|---|---|
| Authors: | Barigozzi, Matteo ; Lippi, Marco ; Luciani, Matteo |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 221.2021, 2, p. 455-482
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| Subject: | Cointegration | Dynamic Factor Models | Impulse-Response Functions | Unit root processes | Kointegration | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Einheitswurzeltest | Unit root test | Schätztheorie | Estimation theory | Dynamische Wirtschaftstheorie | Economic dynamics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.05.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619245