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  • Factor Analysis of a Large DSGE Model 

    ONATSKI, Alexei; Ruge-Murcia, Francisco (Université de Montréal. Département de sciences économiques., 2010-09)
    We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow ...