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

Claudio Morana

No 273, Working Papers from University of Milano-Bicocca, Department of Economics

Abstract: 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.

Keywords: long and short memory; structural breaks; common factors; principal components analysis; fractionally integrated heteroskedastic factor vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 56
Date: 2014-05, Revised 2014-05
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:mib:wpaper:273

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