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Photos Of Major Social Turmoils In China Since 1900, Shaomin Li
Photos Of Major Social Turmoils In China Since 1900, Shaomin Li
Management Faculty Publications
No abstract provided.
Empirical Identification Of Factor Models, Piyachart Phiromswad, Takeshi Yagihashi
Empirical Identification Of Factor Models, Piyachart Phiromswad, Takeshi Yagihashi
Economics Faculty Publications
In the conventional factor-augmented vector autoregression (FAVAR), the extracted factors cannot be used in structural analysis because the factors do not retain a clear economic interpretation. This paper proposes a new method to identify macroeconomic factors, which is associated with better economic interpretations. Using an empirical-based search algorithm, we select variables that are individually caused by a single factor. These variables are then used to impose restrictions on the factor loading matrix, and we obtain an economic interpretation for each factor. We apply our method to time-series data in the USA and further conduct a monetary policy analysis. Our method …