Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
Year of publication: |
2021
|
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Authors: | Gorgi, Paolo ; Koopman, Siem Jan ; Schaumburg, Julia |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | time-varying parameters | vector autoregressive model | dynamic factor model | Kalman filter | generalized autoregressive conditional heteroskedasticity | orthogonal impulse response function |
Series: | Tinbergen Institute Discussion Paper ; TI 2021-056/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1764373235 [GVK] hdl:10419/237789 [Handle] RePEc:tin:wpaper:20210056 [RePEc] |
Classification: | C32 - Time-Series Models ; E31 - Price Level; Inflation; Deflation |
Source: |
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