Project title: Factor Stochastic Volatility in mean Vector Autoregressive Models with Application to Policy Uncertainty on the Sino-US Trade
Description：This project is aiming at investigate the policy uncertainty effect on the Sino-US trade. The model specifications and estimation methods used in the current literatures are not suitable to deal with high dimensional data, and have high computational cost and low statistical efficiency. To this end, this project first develops a class of Factor Stochastic Volatility in mean Vector Autoregressive Models, and proposes an efficient Markov chain Monte Carlo estimation method to improve both computational efficiency and statistical efficiency. Based on the proposed method, this project then mainly investigates the time-vary effect on the role of policy uncertainty in the Sino-US trade, and also evaluate trade data forecasting performance of the proposed models.