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are I(1). We show that Ft is driven by r-c permanent shocks, where c is the cointegration rank of Ft, and q - (r - c) < c … of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non …-Stationary Dynamic Factor Models. The relationship between cointegration of the factors and cointegration of the observable variables is …
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Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
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trend. The estimation of the model preferred by the data indicates that, because of negative shocks to trend output during …
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