FAVARFactor Augmented Vector Autoregressive
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Kamber, G and O Karagedikli, M Ryan and T Vehbi (2016) 'International spill-overs of uncertainty shocks: Evidence from a FAVAR', CAMA Working Paper, 61/2016.
Posteriormente, estos indices se incluyeron como regresores en un modelo traditional de vectores auto-regresivos (VAR); es decir, estimamos un modelo de vectores auto-regresivos aumentado con factores (FAVAR) que incluye un factor no observable y una variable observable de la actividad economica real con el fin de evaluar el efecto de las condiciones financieras internacionales sobre las variables macroeconomicas colombianas.
Once the real and financial factors are obtained via principal components analysis we estimate the factor-augmented VAR, or FAVAR, represented by Equation 4.
Table 1 condenses the data series from the appendix into the nine sets of predictive data that form the nine factors used in the FAVAR model.
Schnatz, "Global commodity cycles and linkages a favar approach," Working Paper Series 1170, European Central Bank, 2010.
"Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach." Quarterly Journal of Economics, 120 (1), 387-422.
Next, we examine how health care prices respond to a monetary policy shock using the factor-augmented vector autoregression (FAVAR) (Bernanke, Boivin, and Eliasz 2005a) in Figure 2.
2011: Drivers of exchange rate dynamics in selected CIS countries: Evidence from a FAVAR analysis.
Karagedikli and Thorsrud estimate a FAVAR model to examine the transmission mechanisms through which international and regional shocks affect the New Zealand economy.
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