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Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances

Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances
Digital規格・テクニカルリポート類
山本, 庸平Hitotsubashi Institute for Advanced Study, Hitotsubashi University2018-08
Available onlineOther Libraries in Japan
  • Summary, etc....elationship in factor-augmented vector autoregression models based on changes in th...
  • Subject Headingdynamic casual effect factor-augmented vector autoregression identification through hetero...

Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions

Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions
Digital規格・テクニカルリポート類
山本, 庸平Hitotsubashi Institute for Advanced Study, Hitotsubashi University2016-05-28
Available onlineOther Libraries in Japan
  • Summary, etc....e functions in factor-augmented vector autoregressions. In particular, we compare t...
  • Subject Headingfactor-augmented vector autoregression structural identiOcation cove...

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