Method evidence record
FAVAR
FAVAR is a multivariate time-series model that first compresses information from a very large set of variables into a few common factors, then includes those factors alongside the observed variables in a vector autoregression. It was introduced by Bernanke, Boivin and Eliasz in 2005 to study monetary policy using hundreds of macroeconomic indicators at once.
Source record
Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.
Factor-Augmented Vector Autoregression
Taxonomic method record · regression-model / econometrics
- Bernanke, B. S., Boivin, J. & Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1), 387-422. · DOI 10.1162/0033553053327452
- Stock, J. H. & Watson, M. W. (2002). Macroeconomic Forecasting Using Diffusion Indexes. Journal of Business & Economic Statistics, 20(2), 147-162. · DOI 10.1198/073500102317351921
Curated claims
Claims persisted in the evidence ledger, each with its own assessment.
No curated claims yet
This view does not invent a claim assessment when the ledger has none.
Related methods
Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.