Bagliano, Fabio C.; Morana, Claudio - Collegio Carlo Alberto, Università degli Studi di Torino - 2006
In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (2005), is introduced. Relative to the Stock-Watson approach, the proposed method has the advantage of allowing for a more clear-cut interpretation of the global factors, as well as for the...