Cubadda, Gianluca; Hecq, Alain; Palm, Franz C. - Graduate School of Business and Economics (GSBE), … - 2007
This note argues that large VAR models with common cyclical feature restrictions provide an attractive framework for parsimonious implied univariate final equations, justifying on the one hand the estimation of homogenous panels with dynamic heterogeneity and a common factor structure, and on...