Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models
Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE... READ MORE...

Publication date: September 2011
ISBN 9781463903497
$18.00

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