000			01672nam a22002777a 4500
003			ZW-GwMSU
005			20240326070758.0
008			240326b |||||||| |||| 00| 0 eng d
022			_a02664666
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHB139.T52 ECO
100	1		_aForni, Mario _eauthor
245	1	0	_aOpening the black box: structural factor models with large cross-sections _ccreated by Mario Forni, Domenico Giannone, Marco Lippi and Lucrezia Reichlin
264	1		_aCambridge: _bCambridge University Press, _c2009.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aEconometric theory _vVolume 25, number 5
520	3		_aThis 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
650			_aDynamic Factor Models _vFundamentalness _xStructural VARs
700	1		_aGiannone, Domenico _eco author
700	1		_aLippi, Marco _eco author
700	1		_aReichlin, Lucrezia _eco author
856			_uhttps://doi.org/10.1017/S026646660809052X
942			_2lcc _cJA
999			_c164548 _d164548