Common time variation of parameters in reduced-form macroeconomic models

DOI10.1515/snde-2014-0064OpenAlexW2336934996MaRDI QIDQ2691652

Dalibor Stevanovic

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2014-0064

zbMATH Keywords

VARfactor analysistime varying parameter model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Uses Software

• bvarsv

Cites Work

• Determining the number of components from the matrix of partial correlations
• Nonlinear factor analysis as a statistical method.
• A rationale and test for the number of factors in factor analysis
• Testing for the Constancy of Parameters Over Time
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Determining the Number of Factors in Approximate Factor Models
• Linear Statistical Inference and its Applications
• Time Varying Structural Vector Autoregressions and Monetary Policy