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.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 712
- Klassifikation
-
Wirtschaft
- Thema
-
Dynamic Factor Models
fundamentalness
Identification
structural VARs
VAR-Modell
Makroökonomik
Theorie
Nichtlineare Dynamik
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Forni, Mario
Giannone, Domenico
Lippi, Marco
Reichlin, Lucrezia
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Forni, Mario
- Giannone, Domenico
- Lippi, Marco
- Reichlin, Lucrezia
- European Central Bank (ECB)
Entstanden
- 2007
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