Open AccessTesting the Dimensionality of Policy Shocks
Author(s) -
Jia Li,
Viktor Todorov,
Qiushi Zhang
Publication year - 2021
Publication title -
the review of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 8.999
H-Index - 165
eISSN - 1530-9142
pISSN - 0034-6535
DOI - 10.1162/rest_a_01139
Subject(s) - monetary policy , curse of dimensionality , economics , covariance matrix , jump , econometrics , nonparametric statistics , shock (circulatory) , financial crisis , covariance , yield curve , matrix (chemical analysis) , monetary economics , macroeconomics , mathematics , statistics , interest rate , medicine , physics , materials science , quantum mechanics , composite material
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