Implications of dynamic factor models for var analysis
By: James H. Stock, Mark W. Watson.
Contributors: Watson, Mark W.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11467; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11467.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Risk assessment -- Mathematical models.; Time-series analysis.; Statics and dynamics (Social sciences)
Description: "This paper considers VAR models incorporating many time series that interact through a few dynamic factors.  Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR.  Structural VAR identification based on timing restrictions, long run restrictions, and restrictions on factor loadings are discussed and practical computational methods suggested.  Empirical analysis using U.S.  data suggest several (7) dynamic factors, rejection of the exact dynamic factor model but support for an approximate factor model, and sensible results for a SVAR that identifies money policy shocks using timing restrictions"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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