Autori: Morana, Claudio , Bagliano, Fabio Cesare
Titolo: A new approach to factor vector autoregressive estimation with an application to large-scale macroeconometric modelling.
Periodico: Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2006 - Volume: 06 - Fascicolo: 15 - Pagina iniziale: 1 - Pagina finale: 12

In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson [19], is introduced. Relative to the approach of Stock and Watson [19], 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. Moreover, as the Stock and Watson [19] approach, the proposed methodology has the advantage of using an iterated procedure in estimation, recovering, asymptotically, full efficiency, and also allowing the imposition of appropriate restrictions concerning the lack of Granger causality of the variables versus the factors. Finally, relative to other available methods, our modelling approach has the advantage of allowing for joint modelling of all variables, without resorting to long-run forcing hypotheses. An application to large-scale macro-econometric modelling is also provided. JEL classification: C32,G1, G15.


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