Tests for overidentifying restrictions in factor-augmented VAR models

DOI10.1016/J.JECONOM.2014.04.024MaRDI QIDQ2343754zbMATH OpenOpenAlexFDO

Authors 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

factor modelidentificationmonetary policy shockstructural impulse responses

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(6)

• Estimation and inference of dynamic structural factor models with over-identifying restrictions
• Testing exogeneity in overidentified models
• Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models
• Factor-augmented vector autoregression with narrative identification. An application to monetary policy in the US
• Global identification, estimation and inference of structural impulse response functions in factor models: a unified framework
• Identification and overidentification in SVECMs

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