Classical time varying factor-augmented vector auto-regressive models -- estimation, forecasting and structural analysis

DOI10.1111/RSSA.12068MaRDI QIDQ6656244FDOQ6656244

Massimiliano Marcellino, Sandra Eickmeier, Wolfgang Lemke

Publication date: 2 January 2025

Published in: Journal of the Royal Statistical Society. Series A. Statistics in Society (Search for Journal in Brave)

zbMATH Keywords

forecastingmonetary transmissiontime varying parametersfactor-augmented vector auto-regressive models

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cited In (5)

• Non-linear dimension reduction in factor-augmented vector autoregressions
• Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
• Estimation and Inference on Time-Varying FAVAR Models
• Markov-Switching Three-Pass Regression Filter
• Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

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