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Chapter 8. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics

Stock, J.H.; Watson, M.W. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 415-525). 2016

This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses … application to oil shocks how the same identification strategies can be applied to each type of model. …

Persistent link: https://www.econbiz.de/10014024278

Long memory factor model : on estimation of factor memories

Cheung, Ying Lun - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 756-769

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Time varying three pass regression filter

Marcellino, Massimiliano; Dendramis, Yiannis; … - 2023

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Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects

Argyropoulos, Efthymios; Tzavalis, Elias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 49-70

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Using principal component analysis to estimate a high dimensional factor model with high-frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399

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In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 313-338

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A comparison of different short-term macroeconomic forecasting models : evidence from Armenia

Poghosyan, Karen - In: Journal of central banking theory and practice 5 (2016) 2, pp. 81-99

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Estimating non-stationary common factors : implications for risk sharing

Corona, Francisco; Poncela, Pilar; Ruiz, Esther - In: Computational economics 55 (2020) 1, pp. 37-60

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What drives bank performance?

Guerrieri, Luca; Harkrader, James Collin - In: Economics letters 204 (2021), pp. 1-4

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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia

Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294

Persistent link: https://www.econbiz.de/10012619418