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Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey
83/83 checkable references clean · checked 2026-08-18
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 83 checked references that resolve
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Nested Reduced-Rank Autoregressive Models for Multiple Time Series
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Consistent Estimation of the Number of Dynamic Factors in a Large<i>N</i>and<i>T</i>Panel
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Asymptotic distribution of the reduced rank regression estimator under general conditions
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Canonical correlation analysis and reduced rank regression in autoregressive models
resolves10.1016/j.jeconom.2003.10.022
Estimating cross-section common stochastic trends in nonstationary panel data
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Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension
resolves10.1016/j.jeconom.2013.03.007
Principal components estimation and identification of static factors
resolves10.1080/07350015.2012.747839
Structural Dynamic Factor Analysis Using Prior Information From Macroeconomic Theory
resolves10.1162/0033553053327452
Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach
resolves10.1111/obes.12003
A Canonical Correlation Approach for Selecting the Number of Dynamic Factors
resolves10.1016/j.jbankfin.2012.03.008
Forecasting government bond yields with large Bayesian vector autoregressions
resolves10.2307/1912275
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
resolves10.1111/j.1540-6261.1993.tb04754.x
A Test for the Number of Factors in an Approximate Factor Model
resolves10.1016/j.jeconom.2008.08.011
Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
resolves10.1016/j.jmoneco.2006.11.003
99 Luftballons: Monetary policy and the house price boom across U.S. states
resolves10.1016/j.jeconom.2011.02.012
A two-step estimator for large approximate dynamic factor models based on Kalman filtering
resolves10.1016/j.euroecorev.2006.04.002
Business cycle transmission from the US to Germany—A structural factor approach
resolves10.1002/jae.815
Principal components at work: the empirical analysis of monetary policy with large data sets
resolves10.1016/j.jmoneco.2009.11.009
The dynamic effects of monetary policy: A structural factor model approach
resolves10.1016/j.jeconom.2010.11.003
The general dynamic factor model: One-sided representation results
resolves10.1111/1467-937x.00053
Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
resolves10.1198/016214506000001275
Determining the Number of Factors in the General Dynamic Factor Model
resolves10.5089/9781451846577.001
Are they All in the Same Boat? the 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages
resolves10.1080/07474930801960196
Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
resolves10.1257/000282803769206278
International Business Cycles: World, Region, and Country-Specific Factors
resolves10.2307/2531754
Matrix Differential Calculus with Applications in Statistics and Econometrics.
resolves10.1111/j.1368-423x.2010.00319.x
A hierarchical factor analysis of U.S. housing market dynamics
resolves10.1111/j.1538-4616.2008.00199.x
The Transmission of International Shocks: A Factor‐Augmented VAR Approach
resolves10.2307/2527349
Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa
resolves10.1198/073500104000000019
Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
resolves10.1198/016214502388618960
Forecasting Using Principal Components From a Large Number of Predictors
The 10 references without a DOI — listed, not checked
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no DOI — not checkedSpatial econometrics
no DOI — not checkedref17
no DOI — not checkedref29
no DOI — not checkedref33
no DOI — not checkedref61
no DOI — not checkedBusiness cycle modeling without pretending to have too much a priori economic theory
no DOI — not checkedDynamic factor models
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