TY  - BOOK
AU  - Forni,Mario
AU  - Giannone,Domenico
AU  - Lippi,Marco
AU  - Reichlin,Lucrezia
TI  - Opening the black box: structural factor models with large cross-sections
SN  - 02664666
AV  - HB139.T52 ECO 
PY  - 2009///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Dynamic Factor Models
KW  - Fundamentalness
KW  - Structural VARs
N2  - 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. JEL Classification: E0, C1
UR  - https://doi.org/10.1017/S026646660809052X
ER  -