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Econometrics / Mathematics / Multivariate statistics / Mathematical finance / Vector autoregression / Cointegration / Autoregressive integrated moving average / Dimensional analysis / Eigenvalues and eigenvectors / Statistics / Algebra / Time series analysis


Structural FECM: Cointegration in large-scale structural FAVAR models Anindya Banerjee Massimiliano Marcellinoy
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Document Date: 2013-10-21 09:30:44

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City

Birmingham / Ljubljana / Florence / /

Country

Slovenia / United Kingdom / United States / Italy / /

Currency

pence / /

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Facility

European University Institute / University of Ljubljana / Bocconi University / University of Birmingham / /

IndustryTerm

typical macroeconomic applications / large systems / /

Organization

CEPR / Bocconi University / Banque de France / University of Ljubljana / Department of Economics / European University Institute / Faculty of Economics / University of Birmingham / /

Person

Igor Mastenz June / Anindya Banerjee Massimiliano Marcellinoy Igor / Plosser / /

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Position

King / FAVAR model / which suitably transform nonstationary data / /

Technology

simulation / /

SocialTag