Economics, Econometrics and Finance
4 years ago

New study reveals 7 key factors shaping U.S. economic policies

1 view
RePEc: Research Papers in Economics
Implications of Dynamic Factor Models for VAR Analysis
James H. Stock, Mark W. Watson

Paper Summary

The article explores how to analyze relationships between many time series using a few dynamic factors in VAR models. It discusses estimating the number of dynamic factors, testing factor restrictions, and identifying structural VARs. The researchers found around 7 dynamic factors in U.S. data, rejected the exact dynamic factor model, but supported an approximate factor model. They also obtained sensible results for a SVAR that identifies monetary policy shocks using timing restrictions.

Related papers

Economics, Econometrics and Finance
4 years ago

New VAR models reveal key factors driving U.S. economic policy decisions.

Macroeconomic Analysis
Development in Italy
Public Finance
2 views
Economics, Econometrics and Finance
4 years ago

Data-rich Fed policy leads to more accurate economic forecasts

Macroeconomic Analysis
Oil Price Shocks
Economic Governance
Economics, Econometrics and Finance
4 years ago

Using fewer data for factor analysis can lead to better forecasting results!

Macroeconomic Analysis
Econophysics
Time Series Forecasting
1 view