Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks
نویسندگان
چکیده
منابع مشابه
Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks
In the paper a general framework for large scale modeling of macroeconomic and nancial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common deterministic and stochastic factors. Monte Address for correspondence: Claudio Morana, Università di Milano...
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ژورنال
عنوان ژورنال: Open Journal of Statistics
سال: 2014
ISSN: 2161-718X,2161-7198
DOI: 10.4236/ojs.2014.44030