Implications of Dynamic Factor Models for Var Analysis
نویسندگان
چکیده
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.
منابع مشابه
Implications of Cointegration for Forecasting: A Review and an Empirical Analysis
Cointegration has different theoretical implications for forecasting. Several empirical studies have compared the out of sample forecasting performance of cointegrted VECMs against unrestricted VARs in levels and in differences. The results of these studies have been generally mixed and inconclusive. This paper provides a comprehensive review over the subject, and also examines the effects...
متن کاملCommon Factors of CPI Sub-aggregates and Forecast of Inflation
In this paper, we investigate whether incorporating common factors of CPI sub-aggregates into forecasting models increases the accuracy of forecasts of inflation. We extract factors by both static and dynamic factor models and then embed them in ARMA and VAR models. Using quarterly data of Iran’s CPI and its sub-aggregates, the models are estimated over 1990:2 to 2008:2 and out of sample ...
متن کاملFactor vector autoregressive estimation: a new approach
In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (Implications of dynamic factor models for VAR analysis, NBER Working Paper, no. 11467, 2005), is introduced. In addition to sharing all the relevant features of the Stock–Watson approach, in its static formulation, the proposed method has the advantage of allowing for a more clear-cut interpretat...
متن کاملResponse Modification Factor of Coupled Steel Shear Walls
The present research is concerned with the determination of ductility, over-strength and response modification factors of coupled steel shear wall frames. Three structural models with various numbers of stories, bay width and coupling beam height were analyzed using static pushover and incremental nonlinear dynamic analyses. The ductility, over-strength and response modification factors for the...
متن کاملThe Effect of Monetary Policy on Business Cycles in Iran Economy
Nowadays one of the most important issues in our economy, both from economic and political view is the link between monetary policy and business cycle fluctuations. Amongst the shocks related to the supply side, the shock of oil price is the important factor that has affected the world economy since the 1970s. This paper examines the effects of monetary policy and oil price shocks on the busine...
متن کامل