Tests for overidentifying restrictions in factor-augmented VAR models

DOI10.1016/j.jeconom.2014.04.024zbMath1331.62470OpenAlexW2162704806MaRDI QIDQ2343754

X. Han

Publication date: 6 May 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.04.024

zbMATH Keywords

identificationfactor modelstructural impulse responsesmonetary policy shock

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items

Estimation and inference of dynamic structural factor models with over-identifying restrictions

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• High-dimensional covariance matrix estimation in approximate factor models
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Testing Hypotheses About the Number of Factors in Large Factor Models
• Linear Regression Limit Theory for Nonstationary Panel Data
• Determining the Number of Factors in the General Dynamic Factor Model
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models