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dc.contributor.authorPesaran, Mohammad Hashemen_US
dc.contributor.authorChudik, Alexanderen_US
dc.date.accessioned2010-06-03en_US
dc.date.accessioned2010-08-18T11:19:06Z-
dc.date.available2010-08-18T11:19:06Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/38982-
dc.description.abstractThis paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves several technical difficulties. The dominant unit influences the rest of the variables in the IVAR model both directly and indirectly, and its effects do not vanish even as the dimension of the model (N) tends to infinity. The dominant unit acts as a dynamic factor in the regressions of the non-dominant units and yields an infinite order distributed lag relationship between the two types of units. Despite this it is shown that the effects of the dominant unit as well as those of the neighborhood units can be consistently estimated by running augmented least squares regressions that include distributed lag functions of the dominant unit. The asymptotic distribution of the estimators is derived and their small sample properties investigated by means of Monte Carlo experiments.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper Empirical and Theoretical Methods 3055en_US
dc.subject.jelC10en_US
dc.subject.jelC33en_US
dc.subject.jelC51en_US
dc.subject.ddc330en_US
dc.subject.keywordIVAR modelsen_US
dc.subject.keyworddominant unitsen_US
dc.subject.keywordlarge panelsen_US
dc.subject.keywordweak and strong cross section dependenceen_US
dc.subject.keywordfactor modelsen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwPanelen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwTheorieen_US
dc.titleEconometric analysis of high dimensional VARs featuring a dominant uniten_US
dc.typeWorking Paperen_US
dc.identifier.ppn627338070en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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