Title: Identification and inference in a vector autoregressive model with common frailty
Authors: Federico Carlini - USI, Lugano (Switzerland) [presenting]
Patrick Gagliardini - University of Lugano (Switzerland)
Abstract: The aim is to study a vector autoregressive model of order one augmented by unobservable factors with a dynamic described by a vector autoregression of order one. A detailed discussion of different identification strategies is provided. We estimate the model parameters by means of a 3-step procedure such that each step is in closed-form (up to eigenvalues-eigenvectors decomposition of matrices of small dimension). We study the asymptotic and finite-sample properties of the estimators.