Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics

Handbook of Macroeconomics

Volumn 2, Issue , 2016, Pages 415-525

  Stock, J H ^a,c   Watson, M W ^b,c  

^a HARVARD UNIVERSITY   (United States)

^b PRINCETON UNIVERSITY   (United States)

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Factor augmented vector autoregressions; Large model forecasting; Nowcasting; Principal components; State space models; Structural shocks; Structural vector autoregressions

Indexed keywords

EID: 85000950827     PISSN: 15740048     EISSN: None     Source Type: Book Series    
DOI: 10.1016/bs.hesmac.2016.04.002     Document Type: Chapter

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