sufficient conditions for identification of the structural shocks and the associated impulse response functions. In particular …, we argue that, if the data follow an approximate factor structure, the “problem of fundamentalness”, which is intractable …

identification schemes employed in SVAR analysis can be easily adapted in dynamic factor models. Moreover, the “problem of … fundamentalness”, which is intractable in structural VARs, can be solved, provided that the impulse-response functions are … convergence. An exercise with US macroeconomic data shows that our solution of the fundamentalness problem may have important …

identification schemes employed in SVAR analysis can be easily adapted in dynamic factor models. Moreover, the “problem of … fundamentalness”, which is intractable in structural VARs, can be solved, provided that the impulse-response functions are … convergence. An exercise with US macroeconomic data shows that our solution of the fundamentalness problem may have important …

In this Paper we study identification in dynamic factor models and argue that factor models are better suited than VARs … be small, so that only a few restrictions are needed to reach identification. Economic interpretation is then easier. On …

The identification of a VAR requires differentiating between correlation and causation. This paper presents a method to …