most citedLarge-Dimensional Dynamic Factor Models: Estimation of Impulse-Response Functions with Cointegrated Factors

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stat.ME2016★ 39 cited

Large-Dimensional Dynamic Factor Models: Estimation of Impulse-Response Functions with Cointegrated Factors

Matteo Barigozzi, Marco Lippi, Matteo Luciani

We study a large-dimensional Dynamic Factor Model where: (i)~the vector of factors is and driven by a number of shocks that is smaller than the dimension of $\…