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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

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

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

Has the business cycle changed?

Stock, James H.; Watson, Mark W. - In: Proceedings - Economic Policy Symposium - Jackson Hole (2003), pp. 9-56

Persistent link: https://www.econbiz.de/10005519916

Monetary policy in a changing economy : indicators, rules, and the shift towards intangible output

Stock, James H. - 1999

Persistent link: https://www.econbiz.de/10001373715

The business cycle is alive and well

Stock, James H. - In: Business economics : the journal of the National … 54 (2019) 1, pp. 79-84

Persistent link: https://www.econbiz.de/10012297274

Monetary policy in real time

Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - In: NBER macroeconomics annual 19 (2004), pp. 161-200

Persistent link: https://www.econbiz.de/10002768812

Bank rate policy under the interwar gold standard : a dynamic probit model

Eichengreen, Barry; Watson, Mark W.; Grossman, Richard S. - 1983

Persistent link: https://www.econbiz.de/10003071539

Systematic monetary policy and the effects of oil price shocks

Bernanke, Ben; Gertler, Mark; Watson, Mark W. - 1997

Persistent link: https://www.econbiz.de/10000968815

Systematic monetary policy and the effects of oil price shocks

Bernanke, Ben - In: Brookings papers on economic activity : BPEA (1997), pp. 91-157

Persistent link: https://www.econbiz.de/10001227828

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