Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
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Cited by:
- Giacomo Bormetti & Fulvio Corsi, 2021. "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers 2107.05263, arXiv.org, revised Feb 2022.
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More about this item
Keywords
time-varying parametersvector autoregressive model; dynamic factor model; Kalman filter; generalized autoregressive conditional heteroskedasticity; orthogonal impulse response function;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-07-19 (Econometrics)
- NEP-ETS-2021-07-19 (Econometric Time Series)
- NEP-MAC-2021-07-19 (Macroeconomics)
- NEP-ORE-2021-07-19 (Operations Research)
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