Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR
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DOI: 10.1002/for.2460
Abstract: In this paper, we first extract 8 factors from a monthly data set of 130 macroeconomic and financial variables. Then these extracted factors are used to construct a Factor-Augmented Qualitative VAR (FA-Qual VAR) model to… read more here.
Keywords: var model; var qual; factor augmented; qual var ... See more keywords