Classical time varying factor‐augmented vector auto‐regressive models—estimation, forecasting and structural analysis

E-ISSN： 1467-985x|178|3|493-533

ISSN： 0964-1998

Source： JOURNAL OF THE ROYAL STATISTICAL SOCIETY: SERIES A (STATISTICS IN SOCIETY), Vol.178, Iss.3, 2015-06, pp. : 493-533

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