Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach-Reference-Cited by-同舟云学术

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Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bork Lasse

Publisher

Elsevier BV

Reference131 articles.

1. Bayesian dynamic factor models and portfolio allocation;O Aguilar;Journal of Business and Economic Statistics,2000

2. Determining the number of factors in approximate factor models;J Bai;Econometrica,2002

3. Determining the number of primitive shocks in factor models;J Bai;Journal of Business & Economic Statistics,2007

4. Large bayesian VARs;M Banbura;Journal of Applied Econometrics,2008

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