bmm-appendix-16-11-08.pdf
Creators:
Anindya Banerjee
;
Massimiliano Marcellino
;
Igor Masten
From the dataset abstract
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is used for...
Source: Structural FECM: Cointegration in large‐scale structural FAVAR models (replication data)
Metadata
| Field | Value |
|---|---|
| Format | application/pdf |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/b8eff64d-4a23-42b2-a83f-30893baedd2d/resource/8eff05d2-6694-48c1-b77d-832afef087f7/download/bmm-appendix-16-11-08.pdf |
| Last updated | November 22, 2022 |
| Created | November 22, 2022 |
