FAVAR (Factor-Augmented Vector Autoregression) Modeli Literatür Taraması

Dündar Murat DEMİRÖZ Bige KÜÇÜKEFE

Fiscaoeconomia, 2017, issue 2

Abstract: In the Vector Autoregressive (VAR) models, which are widely used in economic studies and developed by Sims (1980), impulse response functions can only be obtained from variables included only because of the infrequent use of information sets, and the dimensions of structural shocks can not be measured precisely. It is also not possible that for some variables to be represented by a single time series. The VAR estimation is insufficient for parsing operations involving large data sets. FAVAR (Factor Augmented Vector Autoregression) method was developed by Bernanke, Boivin and Eliasz (2005) and this method can use large data sets. In this study, FAVAR method is tried to be explained by comparing with VAR, and a literature search is being conducted in this subject.

Keywords: FAVAR; Monetary Policy; Transmission Mechanism (search for similar items in EconPapers)
JEL-codes: C55 E12 E17 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dergipark.gov.tr/download/article-file/305560

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fis:journl:170202

Access Statistics for this article

More articles in Fiscaoeconomia from Tubitak Ulakbim JournalPark (Dergipark)
Bibliographic data for series maintained by Emre Atsan ().