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

https://doi.org/10.2139/ssrn.2442780
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-4076(83)90066-0openalex-extracted
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
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Long memory processes and fractional integration in econometrics
inferredcites →https://doi.org/10.1016/j.econlet.2012.04.081openalex-extracted
The flexible Fourier form and Dickey–Fuller type unit root tests
inferredcites →https://doi.org/10.1016/j.econmod.2012.07.011openalex-extracted
Adaptive ARFIMA models with applications to inflation
inferredcites →https://doi.org/10.1016/j.jeconom.2003.10.022openalex-extracted
Estimating cross-section common stochastic trends in nonstationary panel data
inferredcites →https://doi.org/10.1016/j.jeconom.2008.08.010openalex-extracted
Forecasting economic time series using targeted predictors
inferredcites →https://doi.org/10.1016/j.jeconom.2013.03.007openalex-extracted
Principal components estimation and identification of static factors
inferredcites →https://doi.org/10.1016/j.jedc.2009.02.009openalex-extracted
Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
inferredcites →https://doi.org/10.1016/j.ribaf.2012.08.003openalex-extracted
Determinants of US financial fragility conditions
inferredcites →https://doi.org/10.1016/s0264-9993(03)00017-8openalex-extracted
Thick modeling
inferredcites →https://doi.org/10.1016/s0304-4076(95)01749-6openalex-extracted
Fractionally integrated generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1017/s0266466698145061openalex-extracted
A NOTE ON SPURIOUS BREAK
inferredcites →https://doi.org/10.1080/07474938608800095openalex-extracted
Modelling the persistence of conditional variances
inferredcites →https://doi.org/10.1093/oxfordhb/9780195398649.013.0003openalex-extracted
Dynamic Factor Models
inferredcites →https://doi.org/10.1093/rfs/hhn004openalex-extracted
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-extracted
Determining the Number of Factors in Approximate Factor Models
inferredcites →https://doi.org/10.1111/1468-0262.00392openalex-extracted
Inferential Theory for Factor Models of Large Dimensions
inferredcites →https://doi.org/10.1111/1468-0300.00089openalex-extracted
Principal Component Models for Generating Large GARCH Covariance Matrices
inferredcites →https://doi.org/10.1111/j.1467-937x.2008.00530.xopenalex-extracted
Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
inferredcites →https://doi.org/10.1111/j.1468-0262.2004.00528.xopenalex-extracted
A PANIC Attack on Unit Roots and Cointegration
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00696.xopenalex-extracted
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
inferredcites →https://doi.org/10.1162/003465300559037openalex-extracted
The Generalized Dynamic-Factor Model: Identification and Estimation
inferredcites →https://doi.org/10.1162/003465399558382openalex-extracted
Stochastic Permanent Breaks
inferredcites →https://doi.org/10.1162/rest_a_00225openalex-extracted
A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
inferredcites →https://doi.org/10.1198/073500102288618487openalex-extracted
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1198/073500106000000413openalex-extracted
Determining the Number of Primitive Shocks in Factor Models
inferredcites →https://doi.org/10.2139/ssrn.939447openalex-extracted
The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes
inferredcites →https://doi.org/10.2307/1241043openalex-extracted
The Fourier Flexible Form
inferredcites →https://doi.org/10.2307/1391623openalex-extracted
Testing for Common Features
inferredcites →https://doi.org/10.2307/1913236openalex-extracted
Co-Integration and Error Correction: Representation, Estimation, and Testing
inferredcites →https://doi.org/10.2307/2998540openalex-extracted
Estimating and Testing Linear Models with Multiple Structural Changes
inferredcites →https://doi.org/10.3386/w11467openalex-extracted
Implications of Dynamic Factor Models for VAR Analysis
inferredcites →https://doi.org/10.3386/w6702openalex-extracted
Diffusion Indexes
inferredcites →https://doi.org/10.2139/ssrn.1148141openalex-snapshot
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure

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inferred← citeshttps://doi.org/10.5547/01956574.34.3.8openalex-snapshot
The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective
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