文章基本信息

标题：Infinite-dimensional VARs and factor models
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作者：Alexander Chudik ; Hashem Pesaran
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2009
卷号：1
出版社：European Central Bank
摘要：This paper introduces a novel approach for dealing with the curse of dimensionalityin the case of large linear dynamic systems. Restrictions on the coe¢ cients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to innity. It is shown that under such restrictions, an innite-dimensional VAR (or IVAR) can be arbitrarily well characterized by a large number of nite-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.
关键词：Large N and T Panels; Weak and Strong Cross Section Dependence; VAR; Global;VAR; Factor Models