Forni, Mario; Giannone, Domenico; Lippi, Marco; … - In: Econometric Theory 25 (2009) 05, pp. 1319-1347
This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We argue that all identification schemes employed in structural vector autoregression (SVAR) analysis can be easily adapted in dynamic factor models. Moreover, the “problem of fundamentalness,”...