Identifying factor‐augmented vector autoregression models via changes in shock variances
利用冲击方差变化识别因子增强向量自回归模型
Summary This study proposes a method to identify factor‐augmented vector autoregression models without imposing uncorrelatedness or any timing restrictions among observed and unobserved factors in the vector autoregression system. To this end, we utilize changes in unconditional shock variances following Rigobon (2003). The proposed method can incorporate both observed and unobserved factors in the structural vector autoregression system and allows the contemporaneous matrix…