文章基本信息

标题：Econometric analysis of high dimensional VARs featuring a dominant unit
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作者：Hashem Pesaran ; Alexander Chudik
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：2010
出版社：European Central Bank
摘要：This paper extends the analysis of innite 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 di¢ culties. The dominant unit inuences the rest of the variables in the IVAR model both directly and indirectly, and its e¤ects do not vanish even as the dimension of the model (N) tends to innity. The dominant unit acts as a dynamic factor in the regressions of the non-dominant units and yields an innite order distributed lag relationship between the two types of units. Despite this it is shown that the e¤ects 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.
关键词：IVAR Models; Dominant Units; Large Panels; Weak and Strong Cross Section;Dependence; Factor Models