This project has received
funding from the European Union's
Seventh Framework Programme

Papers



Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non-Persistent Processes Subject to Structural Breaks

31-07-2014



Read the paper

In the paper a general framework for large scale modeling of macroeconomic and financial time
series is introduced. The proposed approach is characterized by simplicity of implementation,
performing well independently of persistence and heteroskedasticity properties, accounting for
common deterministic and stochastic factors. Monte Carlo results strongly support the proposed
methodology, validating its use also for relatively small cross‐sectional and temporal samples.




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