全球智库信息集成服务系统(G2TT): DP10801 Structural Analysis with Multivariate Autoregressive Index Models

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP10801
	DP10801 Structural Analysis with Multivariate Autoregressive Index Models
	Massimiliano Marcellino; George Kapetanios; Andrea Carriero
发表日期	2015-09-06
出版年	2015
语种	英语
摘要	We address the issue of parameter dimensionality reduction in Vector Autoregressive models (VARs) for many variables by imposing specific reduced rank restrictions on the coefficient matrices that simplify the VARs into Multivariate Autoregressive Index (MAI) models. We derive the Wold representation implied by the MAIs and show that it is closely related to that associated with dynamic factor models. Next, we describe classical and Bayesian estimation of large MAIs, and discuss methods for the rank determination. Then, the theoretical analysis is extended to the case of general rank restrictions on the VAR coefficients. Finally, the performance of the MAIs is compared with that of large Bayesian VARs in the context of Monte Carlo simulations and two empirical applications, on on the transmission mechanism of monetary policy and the propagation of demand, supply and financial shocks.
主题	Monetary Economics and Fluctuations
关键词	Large datasets Multivariate autoregressive index models Reduced rank regressions Bayesian vars Factor models Forecasting Structural analysis
URL	https://cepr.org/publications/dp10801
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/539631
推荐引用方式 GB/T 7714	Massimiliano Marcellino,George Kapetanios,Andrea Carriero. DP10801 Structural Analysis with Multivariate Autoregressive Index Models. 2015.