hero working papers

Impulse Response Functions from Structural Dynamic Factor Models:

Number: 306
Year: 2006
Author(s): George Kapetanios and Massimiliano Marcellino
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.

Keywords: Factor models, Principal components, Subspace algorithms, StructuralIdentification, Structural VAR
JEL codes: C32, C51, E52