全球智库信息集成服务系统(G2TT): DP9858 Structural FECM: Cointegration in large-scale structural FAVAR models

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP9858
	DP9858 Structural FECM: Cointegration in large-scale structural FAVAR models
	Anindya Banerjee; Massimiliano Marcellino; Igor Masten
发表日期	2014-03-02
出版年	2014
语种	英语
摘要	Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The latter is used for the identification of structural shocks and their propagation mechanism. Besides discussing contemporaneous restrictions along the lines of Bernanke et al. (2005), we show how to implement classical identification schemes based on long-run restrictions in the case of large panels. The importance of the error-correction mechanism for impulse response analysis is analysed by means of both empirical examples and simulation experiments. Our results show that the bias in estimated impulse responses in a FAVAR model is positively related to the strength of the error-correction mechanism and the cross-section dimension of the panel. We observe empirically in a large panel of US data that these features have a substantial effect on the responses of several variables to the identified real shock.
主题	International Macroeconomics
关键词	Cointegration Dynamic factor models Factor-augmented error correction models Favar Structural analysis
URL	https://cepr.org/publications/dp9858
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/538692
推荐引用方式 GB/T 7714	Anindya Banerjee,Massimiliano Marcellino,Igor Masten. DP9858 Structural FECM: Cointegration in large-scale structural FAVAR models. 2014.