Factor Vector Autoregressive Estimation: A New Approach

Journal of Economic Interaction and Coordination, Vol. 3, pp. 15-23, 2008

Posted: 10 Dec 2006 Last revised: 9 Jun 2013

See all articles by Claudio Morana

Claudio Morana

Università di Milano Bicocca; Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS); Università degli Studi di Milano-Bicocca - Center for European Studies (CefES); Center for Economic Research on Pensions and Welfare Policies (CeRP); Rimini Center for Economic Analysis - Europe ETS; Rimini Center for Economic Analysis - HQ

Fabio C. Bagliano

University of Turin - Department of Economics and Statistics; Center for Research on Pensions and Welfare Policies (CeRP); University of Turin - Collegio Carlo Alberto

Date Written: December 2006

Abstract

In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (2005), is introduced. In addition to sharing all the relevant features of the Stock and Watson (2005) approach, in its static formulation, the proposed method has the advantage of allowing for a more clear-cut interpretation of the global factors, as well as for the identification of all idiosyncratic shocks. An application to large-scale macroeconometric modelling is also provided.

Keywords: factor vector autoregressive models, large scale macroeconometric models

JEL Classification: C32

Suggested Citation

Morana, Claudio and Bagliano, Fabio C., Factor Vector Autoregressive Estimation: A New Approach (December 2006). Journal of Economic Interaction and Coordination, Vol. 3, pp. 15-23, 2008, Available at SSRN: https://ssrn.com/abstract=950526

Claudio Morana (Contact Author)

Università di Milano Bicocca ( email )

Dip Economia Metodi Quantitativi Strategie Impresa
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Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) ( email )

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Università degli Studi di Milano-Bicocca - Center for European Studies (CefES) ( email )

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Center for Economic Research on Pensions and Welfare Policies (CeRP) ( email )

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Fabio C. Bagliano

University of Turin - Department of Economics and Statistics ( email )

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Torino, I-10134
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HOME PAGE: http://web.econ.unito.it/bagliano

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University of Turin - Collegio Carlo Alberto ( email )

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