Structural FECM : cointegration in large‐scale structural FAVAR models
Anindya Banerjee, Massimiliano Marcellino, Igor Masten
| Year of publication: |
September/October 2017
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|---|---|
| Authors: | Banerjee, Anindya ; Marcellino, Massimiliano ; Masten, Igor |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 32.2017, 6, p. 1069-1086
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| Subject: | Kointegration | Cointegration | Faktorenanalyse | Factor analysis | VAR-Modell | VAR model | Theorie | Theory | Schätzung | Estimation | Geldpolitik | Monetary policy | Produktivität | Productivity | Schock | Shock | USA | United States |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | FECM = factor-augmented error correction model FAVAR = factor-augmented VARs |
| Research data: | |
| Other identifiers: | 10.1002/jae.2570 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011862314