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- W3126042743 abstract "We study a Large-Dimensional Non-Stationary Dynamic Factor Model where (1) the factors Ft are I (1) and singular, that is Ft has dimension r and is driven by q dynamic shocks with q less than r, (2) the idiosyncratic components are either I (0) or I (1). Under these assumption the factors Ft are cointegrated and modeled by a singular Error Correction Model. We provide conditions for consistent estimation, as both the cross-sectional size n, and the time dimension T, go to infinity, of the factors, the loadings, the shocks, the ECM coefficients and therefore the Impulse Response Functions. Finally, the numerical properties of our estimator are explored by means of a MonteCarlo exercise and of a real-data application, in which we study the effects of monetary policy and supply shocks on the US economy." @default.
- W3126042743 created "2021-02-01" @default.
- W3126042743 creator A5013616417 @default.
- W3126042743 creator A5033311808 @default.
- W3126042743 creator A5038933545 @default.
- W3126042743 date "2016-01-01" @default.
- W3126042743 modified "2023-09-26" @default.
- W3126042743 title "Non-Stationary Dynamic Factor Models for Large Datasets" @default.
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- W3126042743 doi "https://doi.org/10.2139/ssrn.2741739" @default.
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