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Structural analysis with Multivariate Autoregressive Index models · Study

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ArticleStructural analysis with Multivariate Autoregressive Index models

Andrea Carriero2016

OA

Articlegreen2016

Structural analysis with Multivariate Autoregressive Index models

Andrea Carriero · George Kapetanios · Massimiliano Giuseppe Marcellino

23 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Statistical Methods and Applications Statistical and numerical algorithms

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 23 citations exist upstream.

References

1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 2002Forecasting Using Principal Components From a Large Number of Predictors 2002Macroeconomic Forecasting Using Diffusion Indexes 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach 1989New Indexes of Coincident and Leading Economic Indicators 2000The Generalized Dynamic-Factor Model: Identification and Estimation 2003International Business Cycles: World, Region, and Country-Specific Factors 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience

Details

Year2016

Typearticle

Published2016-02-13

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations23

Files0 public / 0

ShelfMonetary Policy and Economic Impact

Identifiers

doi10.1016/j.jeconom.2016.02.002

openalex_workW1898516540

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