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Journal of Business & Economic Statistics Volume 34, 2016 - Issue 4: Special Issue on Big Data
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Original Articles

Estimation and Inference of FAVAR Models

Jushan BaiDepartment of Economics, Columbia University, New York, 10027, and School of Finance, Nankai University, Tianjin, NY, China ([email protected])
,
Kunpeng LiInternational School of Economics and Management, Capital University of Economics and Business, Beijing, China ([email protected])
&
Lina LuDepartment of Economics, Columbia University, New York, NY10027 ([email protected])
Pages 620-641 | Received 01 Dec 2014, Published online: 15 Sep 2016

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Nazneen Ahmad & Hien Nguyen. (2023) Homebuilders’ Sentiment and Housing Activity: Evidence of Differential Regional Effects. Journal of Housing Research 0:0, pages 1-18.
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Zhonghao Fu, Liangjun Su & Xia Wang. (2023) Estimation and Inference on Time-Varying FAVAR Models. Journal of Business & Economic Statistics 0:0, pages 1-15.
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Degui Li, Jiraroj Tosasukul & Wenyang Zhang. (2019) Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients. Journal of Time Series Analysis 41:3, pages 367-386.
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Alexander Chudik, M. Hashem Pesaran & Kamiar Mohaddes. 2020. Essays in Honor of Cheng Hsiao. Essays in Honor of Cheng Hsiao 143 189 .
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Jiahe Lin & George Michailidis. (2020) System Identification of High-Dimensional Linear Dynamical Systems With Serially Correlated Output Noise Components. IEEE Transactions on Signal Processing 68, pages 5573-5587.
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Franz Ramsauer, Aleksey Min & Michael Lingauer. (2019) Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components. Econometrics 7:3, pages 31.
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Yohei Yamamoto. (2018) Bootstrap inference for impulse response functions in factor‐augmented vector autoregressions. Journal of Applied Econometrics 34:2, pages 247-267.
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Stephan Smeekes & Etienne Wijler. (2018) Macroeconomic forecasting using penalized regression methods. International Journal of Forecasting 34:3, pages 408-430.
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Jushan Bai & Peng Wang. (2016) Econometric Analysis of Large Factor Models. Annual Review of Economics 8:1, pages 53-80.
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Mingmian Cheng, Yuan Liao & Xiye Yang. (2020) Uniform Predictive Inference for Factor Models with Instrumental and Idiosyncratic Betas. SSRN Electronic Journal.
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Yayi Yan & Tingting Cheng. (2019) Inference for Factor-Augmented Forecasting Regressions Under Structural Instability. SSRN Electronic Journal.
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Yoshimasa Uematsu & Takashi Yamagata. (2019) Estimation of Weak Factor Models. SSRN Electronic Journal.
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Alexander Chudik, M. Hashem Pesaran & Kamiar Mohaddes. (2019) Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR. SSRN Electronic Journal.
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Helmut Herwartz & Hannes Rohloff. (2018) Less Bang for the Buck? Assessing the Role of Inflation Uncertainty for U.S. Monetary Policy Transmission in a Data Rich Environment. SSRN Electronic Journal.
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Christian T. Brownlees & Geert Mesters. (2017) Detecting Granular Time Series in Large Panels. SSRN Electronic Journal.
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Xu Han. (2015) Estimation and Inference in Over-Identified Structural Factor-Augmented VAR Models. SSRN Electronic Journal.
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