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Opening the black box: structural factor models with large cross-sections created by Mario Forni, Domenico Giannone, Marco Lippi and Lucrezia Reichlin

By: Contributor(s): Material type: TextTextSeries: Econometric theory ; Volume 25, number 5Cambridge: Cambridge University Press, 2009Content type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISSN:
  • 02664666
Subject(s): LOC classification:
  • HB139.T52 ECO
Online resources: Abstract: 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
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Item type Current library Call number Vol info Copy number Status Notes Date due Barcode
Journal Article Journal Article Main Library Journal Article HB139.T52 ECO (Browse shelf(Opens below)) Vol. 25, no.5 (pages 1319-1348) SP3260 Not for loan For In House Use Only

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

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