Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation

Massimiliano Marcellino and George Kapetanios

No 306, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

Abstract: The estimation of structural dynamic factor models (DFMs) for large sets of variables is attracting considerable attention. In this paper we briefly review the underlying theory and then compare the impulse response functions resulting from two alternative estimation methods for the DFM. Finally, as an example, we reconsider the issue of the identification of the driving forces of the US economy, using data for about 150 macroeconomic variables.

Date: 2006
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Working Paper: Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation (2006)
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