EconStor >
Forschungsinstitut zur Zukunft der Arbeit (IZA), Bonn >
IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA) >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/34562
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorChudik, Alexanderen_US
dc.contributor.authorPesaran, Mohammad Hashemen_US
dc.date.accessioned2008-06-25en_US
dc.date.accessioned2010-07-07T11:24:33Z-
dc.date.available2010-07-07T11:24:33Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/34562-
dc.description.abstractThis paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR model proposed in Pesaran et al. (JBES, 2004). The paper also considers IVAR models with dominant individual units and shows that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and inference in a stationary IVAR with unknown number of unobserved common factors are also investigated. A cross section augmented least squares estimator is proposed and its asymptotic distribution is derived. Satisfactory small sample properties are documented by Monte Carlo experiments. An empirical application to modelling of real GDP growth and investment-output ratios provides an illustration of the proposed approach. Considerable heterogeneities across countries and significant presence of dominant effects are found. The results also suggest that increase in investment as a share of GDP predict higher growth rate of GDP per capita for non-negligible fraction of countries and vice versa.en_US
dc.language.isoengen_US
dc.publisherIZA Bonnen_US
dc.relation.ispartofseriesIZA Discussion Papers 3206en_US
dc.subject.jelC10en_US
dc.subject.ddc330en_US
dc.subject.keywordLarge N and T panelsen_US
dc.subject.keywordweak and strong cross section dependenceen_US
dc.subject.keywordVARen_US
dc.subject.keywordglobal VARen_US
dc.subject.keywordfactor modelsen_US
dc.subject.keywordcapital accumulationen_US
dc.subject.keywordgrowthen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwMonte-Carlo-Methodeen_US
dc.subject.stwInvestitionen_US
dc.subject.stwWirtschaftswachstumen_US
dc.subject.stwTheorieen_US
dc.subject.stwSch├Ątzungen_US
dc.subject.stwWelten_US
dc.titleInfinite dimensional VARs and factor modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn559459076en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

Files in This Item:
File Description SizeFormat
559459076.pdf578.75 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.