Regression model
因子增广向量自回归模型 (FAVAR)
FAVAR是一种多元时间序列模型，它首先将海量变量的信息压缩成少数几个共同因子，然后将这些因子与观测变量一起纳入向量自回归模型。该模型由Bernanke, Boivin和Eliasz于2005年提出，用于同时研究数百个宏观经济指标的货币政策。
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来源
- 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 ↗
如何引用本页
ScholarGate. (2026, June 1). Factor-Augmented Vector Autoregression. ScholarGate. https://scholargate.app/zh/econometrics/favar
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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