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

Massimiliano Marcellino and George Kapetanios

No 5621, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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.

Keywords: Factor models; Principal components; Subspace algorithms; Structural identification; Structural var (search for similar items in EconPapers)
JEL-codes: C32 C51 E52 (search for similar items in EconPapers)
Date: 2006-04
New Economics Papers: this item is included in nep-ets and nep-mac
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Citations: View citations in EconPapers (4)

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Working Paper: Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation (2006)
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