Open Journal of Statistics

Volume 4, Issue 4 (June 2014)

ISSN Print: 2161-718X   ISSN Online: 2161-7198

Google-based Impact Factor: 0.53  Citations  

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

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DOI: 10.4236/ojs.2014.44030    3,455 Downloads   5,017 Views  Citations
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ABSTRACT

In the paper, a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common deterministic and stochastic factors. Monte Carlo results strongly support the proposed methodology, validating its use also for relatively small cross-sectional and temporal samples.

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Morana, C. (2014) Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks. Open Journal of Statistics, 4, 292-312. doi: 10.4236/ojs.2014.44030.

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