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This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10010276270
that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …
Persistent link: https://www.econbiz.de/10010276215
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10010285540