Classical time varying factor-augmented vector auto-regressive models -- estimation, forecasting and structural analysis
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Publication:6656244
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)
forecastingmonetary transmissiontime varying parametersfactor-augmented vector auto-regressive models
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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