Stock, J.H.; Watson, M.W. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 415-525). 2016
This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses in empirical macroeconomics. It also surveys recent developments in methods for identifying and estimating SVARs, an area that has seen important developments over the past 15...