Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
39 Pages Posted: 5 Jul 2006
There are 2 versions of this paper
Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
Date Written: April 2006
Abstract
The estimation of structural dynamic factor models (DFMs) for large sets of variables is attracting considerable attention. In this paper we briefly review the underlying theory and then compare the impulse response functions resulting from two alternative estimation methods for the DFM. Finally, as an example, we reconsider the issue of the identification of the driving forces of the US economy, using data for about 150 macroeconomic variables.
Keywords: Factor models, principal components, subspace algorithms, structural identification, structural VAR
JEL Classification: C32, C51, E52
Suggested Citation: Suggested Citation
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