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

  • Massimiliano Marcellino
  • George Kapetanios

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.

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Paper provided by IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University in its series Working Papers with number 306.

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Date of creation: 2006
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Handle: RePEc:igi:igierp:306
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