Structural analysis with multivariate autoregressive index models

DOI10.1016/J.JECONOM.2016.02.002MaRDI QIDQ281034zbMATH OpenOpenAlexFDO

Authors Andrea Carriero, George Kapetanios, Massimiliano Marcellino

Publication date 10 May 2016

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

Full work available at URL http://hdl.handle.net/11585/714513

zbMATH Keywords

factor modelsforecastinglarge datasetsBayesian VARsmultivariate autoregressive index modelsreduced rank regressionsstructural analysis

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3605818 (Why is no real title available?)
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• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
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• Structural analysis with multivariate autoregressive index models
• Structural vector autoregressions with Markov switching
• TESTS OF RANK
• Using simulation methods for bayesian econometric models: inference, development,and communication

Cited in

(9)

• Bayesian compressed vector autoregressions
• Structural analysis with multivariate autoregressive index models
• Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
• A state-space approach to time-varying reduced-rank regression
• Studying co-movements in large multivariate data prior to multivariate modelling
• Reduced-Rank Envelope Vector Autoregressive Model
• Model reduction methods for vector autoregressive processes.
• On the reduced-rank model with leading index
• Reducing the state space dimension in a large TVP-VAR

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