Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension <i>r</i> which are driven by a <i>q</i>-dimensional white noise, with <...
| Autori principali: | , , |
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| Natura: | Articolo |
| Lingua: | English |
| Pubblicazione: |
MDPI AG
2020-02-01
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| Serie: | Econometrics |
| Soggetti: | |
| Accesso online: | https://www.mdpi.com/2225-1146/8/1/3 |