Extended Yule-Walker Estimation and Principal Components Variance Decomposition of a Many-Variable VAR Model to a Few-Factor VARMA Model: Applied to U.S. Macro Data

Baoline Chen and Peter A. Zadrozny

No 123, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: dynamic; factor; decomposition; of; multiple; time; series (search for similar items in EconPapers)
JEL-codes: C32 C53 E32 (search for similar items in EconPapers)
Date: 2003-08-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf3:123

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