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Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components

Ramsauer, Franz; Min, Aleksey; Lingauer, Michael - In: Econometrics 7 (2019) 3, pp. 1-43

This article extends the Factor-Augmented Vector Autoregression Model (FAVAR) to mixed-frequency and incomplete panel …

Persistent link: https://www.econbiz.de/10012696246

Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components

Ramsauer, Franz; Min, Aleksey; Lingauer, Michael - In: Econometrics : open access journal 7 (2019) 3/31, pp. 1-43

This article extends the Factor-Augmented Vector Autoregression Model (FAVAR) to mixed-frequency and incomplete panel …

Persistent link: https://www.econbiz.de/10012161533

Effectiveness of monetary policy in China : evidence from factor-augmented vector autoregression model

Sun, Yunpeng; Zhang, Jingjia - In: Frontiers of economics in China : selected publications … 14 (2019) 3, pp. 336-370

Persistent link: https://www.econbiz.de/10012129400

Is the exchange rate a shock absorber or a source of shocks? : evidence from the US

De, Kuhelika; Sun, Wei - In: Economic modelling 89 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012425897

Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data

Boivin, Jean; Giannoni, Marc P.; Mihov, Ilian - Center for Financial Studies - 2007

, Factor-Augmented Vector Autoregression Model (FAVAR) 1 Introduction Inthispaper …

Persistent link: https://www.econbiz.de/10005176458

Sticky prices and monetary policy: Evidence from disaggregated US data

Boivin, Jean; Giannoni, Marc P.; Mihov, Ilian - 2006

This paper uses factor-augmented vector autoregressions (FAVAR) estimated using a large data set to disentangle fluctuations in disaggregated consumer and producer prices which are due to macroeconomic factors from those due to sectorial conditions. This allows us to provide consistent estimates...

Persistent link: https://www.econbiz.de/10010298363

Sticky prices and monetary policy: Evidence from disaggregated US data

Boivin, Jean; Giannoni, Marc P.; Mihov, Ilian - Center for Financial Studies - 2006

Persistent link: https://www.econbiz.de/10010986414