Bai, Jushan; Li, Kunpeng; Lu, Lina - Volkswirtschaftliche Fakultät, … - 2014
The factor-augmented vector autoregressive (FAVAR) model, first proposed by Bernanke, Bovin, and Eliasz (2005, QJE), is now widely used in macroeconomics and finance. In this model, observable and unobservable factors jointly follow a vector autoregressive process, which further drives the...