Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q r. The present paper studies...

The paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors Ft are I(1) and singular, i.e. Ft has dimension r and is driven by a q-dimensional white noise, the common shocks, with q r, and (2) the idiosyncratic components are I(1). We show that Ft is driven by r-c...

We investigate the possible existence of asymmetries among Euro Area countries reactions to the European Central Bank monetary policy. Our analysis is based on a Structural Dynamic Factor model estimated on a large panel of Euro Area quarterly variables. We find that, despite the single monetary...

We study a Large-Dimensional Non-Stationary Dynamic Factor Model where (1) the factors Ft are I (1) and singular, that is Ft has dimension r and is driven by q dynamic shocks with q less than r, (2) the idiosyncratic components are either I (0) or I (1). Under these assumption the factors Ft are...

The paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors F_t are I(1) and singular, i.e. F_t has dimension r and is driven by a q-dimensional white noise, the common shocks, with q r, and (2) the idiosyncratic components are I(1). We show that F_t is driven by r − c...