Sökning: "Lin Oskarsson"

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  1. 1. A simplified approach in FAVAR estimation

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Mathias Lien Oskarsson; Christopher Lin; [2018]
    Nyckelord :factor-augmented vector autoregression; principal component analysis; common correlated effects; impulse responses;

    Sammanfattning : In the field of empirical macroeconomics factor-augmented vector autoregressive (FAVAR) models have become a popular tool in explaining how economic variables interact over time. FAVAR is based upon a data-reduction step using factor estimation, which are then employed in a vector autoregressive model. LÄS MER