Съдържанието не е налично на български език.
Mario Forni
- 16 January 2007
- WORKING PAPER SERIES - No. 712Details
- 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 Code
- E0 : Macroeconomics and Monetary Economics→General
C1 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General