Macro-panels and Reality

This note argues that large VAR models with common cyclical feature restrictions provide an attractive framework for parsimonious implied univariate final equations, justifying on the one hand the estimation of homogenous panels with dynamic heterogeneity and a common factor structure, and on the other hand the aggregation of time series. However, starting with a too restrictive DGP might preclude from looking at interesting empirical issues.

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Year of publication:	2007
Authors:	Cubadda, Gianluca ; Hecq, Alain ; Palm, Franz C.
Institutions:	Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization
Subject:	Economics ()

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Extent:	application/pdf
Series:	Research Memoranda.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Research Memoranda Number 009
Classification:	A - General Economics and Teaching
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005670183