Infinite Dimensional VARs and Factor Models

This paper introduces a novel approach for dealing with the curse of dimensionality in thecase of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VARare proposed that are binding only in a limit as the number of endogenous variables tends toinfinity...

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Year of publication:	2007-12-01
Authors:	Chudik, Alexander ; Pesaran, Mohammad Hashem
Institutions:	Forschungsinstitut zur Zukunft der Arbeit <Bonn>
Subject:	Kapitalbildung \| Entwicklung \| Abhängigkeit \| depenence

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Extent:	591872 bytes 66 p. application/pdf
Series:	IZA Discussion Papers IZA Discussion Paper ; No. 3206 (2007)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C10 - Econometric and Statistical Methods: General. General ; C33 - Models with Panel Data ; C51 - Model Construction and Estimation ; O40 - Economic Growth and Aggregate Productivity. General ; Corporate statistics and corporate cost accounting ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10008939752