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Implications of dynamic factor models for VAR analysis
Stock, James H.; Watson, Mark W. - 2005
Persistent link: https://www.econbiz.de/10003029669
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Implications of Dynamic Factor Models for VAR Analysis
Stock, James H.; Watson, Mark W. - 2022
This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...
Persistent link: https://www.econbiz.de/10013322868
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Implications of Dynamic Factor Models for VAR Analysis
Stock, James H. - 2005
This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...
Persistent link: https://www.econbiz.de/10012467213
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Inference in structural Vector Autoregressions identified with an external instrument
Olea, José Luis Montiel; Stock, James H.; Watson, Mark W. - In: Journal of econometrics 225 (2021) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10013279009
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Inference in time series regression when the order of integration of a regressor is unknown
Elliott, Graham; Stock, James H. - 1992
Persistent link: https://www.econbiz.de/10000840062
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Deciding between I(1) and I(0)
Stock, James H. - 1992
Persistent link: https://www.econbiz.de/10000840063
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Recursive and sequential tests of the unit root and trend break hypotheses : theory and international evidence
Banerjee, Anindya; Lumsdaine, Robin L.; Stock, James H. - 1990
Persistent link: https://www.econbiz.de/10000803376
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A simple estimator of cointegrating vectors in higher order integrated systems
Stock, James H.; Watson, Mark W. - 1991
Persistent link: https://www.econbiz.de/10000812979
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Identification and inference for econometric models : essays in honor of Thomas Rothenberg
Andrews, Donald W. K. (ed.); Rothenberg, Thomas J. (honouree) - 2005
Persistent link: https://www.econbiz.de/10002380727
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Forecasting and interpolation using vector autoregressions with common trends
Fernández Macho, Francisco Javier
Persistent link: https://www.econbiz.de/10001268035