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dc.contributor.authorPesaran, Mohammad Hashemen
dc.contributor.authorChudik, Alexanderen
dc.date.accessioned2010-06-03-
dc.date.accessioned2010-08-18T11:19:06Z-
dc.date.available2010-08-18T11:19:06Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3055en
dc.subject.jelC10en
dc.subject.jelC33en
dc.subject.jelC51en
dc.subject.ddc330en
dc.subject.keywordIVAR modelsen
dc.subject.keyworddominant unitsen
dc.subject.keywordlarge panelsen
dc.subject.keywordweak and strong cross section dependenceen
dc.subject.keywordfactor modelsen
dc.subject.stwVAR-Modellen
dc.subject.stwPanelen
dc.subject.stwStatistischer Testen
dc.subject.stwFaktorenanalyseen
dc.subject.stwTheorieen
dc.titleEconometric analysis of high dimensional VARs featuring a dominant unit-
dc.typeWorking Paperen
dc.identifier.ppn627338070en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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