{"title":"结构动力因子模型的脉冲响应函数:蒙特卡罗评价","authors":"G. Kapetanios, Massimiliano Marcellino","doi":"10.2139/ssrn.893124","DOIUrl":null,"url":null,"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.","PeriodicalId":300963,"journal":{"name":"Robert Schuman Centre for Advanced Studies (RSCAS) Research Paper Series","volume":"50 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2006-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"8","resultStr":"{\"title\":\"Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation\",\"authors\":\"G. Kapetanios, Massimiliano Marcellino\",\"doi\":\"10.2139/ssrn.893124\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":300963,\"journal\":{\"name\":\"Robert Schuman Centre for Advanced Studies (RSCAS) Research Paper Series\",\"volume\":\"50 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2006-03-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"8\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Robert Schuman Centre for Advanced Studies (RSCAS) Research Paper Series\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.893124\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Robert Schuman Centre for Advanced Studies (RSCAS) Research Paper Series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.893124","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
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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