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Persistent link: https://www.econbiz.de/10011339283
This paper develops tests for overidentifying restrictions in Factor-Augmented Vector Autoregressive (FAVAR) models. The identification of structural shocks in FAVAR can involve infinitely many restrictions as the number of cross sections goes to infinity. Our focus is to test the joint null...
Persistent link: https://www.econbiz.de/10011117422
Persistent link: https://www.econbiz.de/10011795541