Implications of Dynamic Factor Models for VAR Analysis
收藏NBER2005-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w11467
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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 on
提供机构：
美国国家经济研究局
创建时间：
2005-07-01
