Non-fundamentalness in structural econometric models: a review

DOI10.1111/J.1751-5823.2011.00131.XMaRDI QIDQ6573733FDOQ6573733

Marco Capasso, Matteo Barigozzi, Lucia Alessi

Publication date: 17 July 2024

Published in: International Statistical Review (Search for Journal in Brave)

zbMATH Keywords

dynamic factor modelsdynamic stochastic general equilibrium modelsnon-fundamentalnessstructural vectorautoregressions

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Mathematical economics (91Bxx) Inference from stochastic processes (62Mxx)

Cites Work

• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Determining the Number of Factors in Approximate Factor Models
• Title not available (Why is that?)
• Determining the Number of Factors in the General Dynamic Factor Model
• Improved penalization for determining the number of factors in approximate factor models
• Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
• Noncausal vector autoregression
• Testing Hypotheses About the Number of Factors in Large Factor Models
• Title not available (Why is that?)
• VAR analysis, nonfundamental representations, Blaschke matrices
• VARs, common factors and the empirical validation of equilibrium business cycle models
• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output

Cited In (1)

• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation

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