Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization
动态因子模型脉冲响应函数的估计:一种新参数化
We propose a new parametrization for the estimation and identification of the impulse-response functions (IRFs) of dynamic factor models (DFMs). The theoretical contribution of this paper concerns the problem of observational equivalence between different IRFs, which implies non-identification of the IRF parameters without further restrictions. We show how the previously proposed minimal identification conditions are nested in the new framework and can be further augmented…