Monetary, fiscal and oil shocks: evidence based on mixed frequency structural FAVARs

DOI10.1016/j.jeconom.2016.04.010zbMath1431.91298OpenAlexW3122772224MaRDI QIDQ726590

Massimiliano Marcellino, Vasja Sivec

Publication date: 12 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.010

zbMATH Keywords

identificationestimationtemporal aggregationimpulse response functionstructural FAVARmixed frequency data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (3)

Incorporating overnight and intraday returns into multivariate GARCH volatility models ⋮ On factor models with random missing: EM estimation, inference, and cross validation ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

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• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Maximum Likelihood Estimation of Misspecified Models

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