Essays about: "Factor-augmented vector autoregressions"

Found 1 essay containing the words Factor-augmented vector autoregressions.

  1. 1. The more the merrier? On the performance of factor-augmented models

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Paulina Jonéus; [2015]
    Keywords : Factor models; Factor-augmented vector autoregressions; principal components; impulse-response functions; forecasting;

    Abstract : Vector autoregression (VAR) models are widely used in an attempt to identify and measure the effect of monetary policy shocks on an economy and to forecast economic times series. However, the sparse information sets used in the VAR approach have been subject to criticism and in recent decades, the use of factor models as a means of dimension reduction has been a subject of greater focus. READ MORE