VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS

DOI10.1017/S0266466621000542OpenAlexW4200010059MaRDI QIDQ6145545FDOQ6145545

Authors Marco Lippi

Publication date 9 January 2024

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466621000542

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• DOES MONETARY POLICY GENERATE RECESSIONS?
• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Forecasting Using Principal Components From a Large Number of Predictors
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Linear transformations of vector ARMA processes
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Methods for applied macroeconomic research.
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• VARMA representation of DSGE models
• VARs, common factors and the empirical validation of equilibrium business cycle models

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