Arbeitspapier
Opening the black box: structural factor models with large cross-sections
This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We establish sufficient conditions for identification of the structural shocks and the associated impulse response functions. In particular, we argue that, if the data follow an approximate factor structure, the “problem of fundamentalness”, which is intractable in structural VARs, can be solved provided that the impulse responses are sufficiently heterogeneous. Finally, we propose a consistent method (and n, T rates of convergence) to estimate the impulse-response functions, as well as a bootstrapping procedure for statistical inference.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 712
- Classification
-
Wirtschaft
- Subject
-
Dynamic Factor Models
fundamentalness
Identification
structural VARs
VAR-Modell
Makroökonomik
Theorie
Nichtlineare Dynamik
- Event
-
Geistige Schöpfung
- (who)
-
Forni, Mario
Giannone, Domenico
Lippi, Marco
Reichlin, Lucrezia
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Forni, Mario
- Giannone, Domenico
- Lippi, Marco
- Reichlin, Lucrezia
- European Central Bank (ECB)
Time of origin
- 2007
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