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://jda-test.zbw.eu/dataset/7b68ca8a-19b1-41e7-8103-c5559663c499/resource/d27aaecb-2be1-4e11-8116-9dde25a3b1ca/download/bmm-appendix-16-11-08.pdf |
| Last updated | November 8, 2022 |
| Created | November 8, 2022 |
