Large-Dimensional Dynamic Factor Models: Estimation of Impulse-Response Functions with $I(1)$ Cointegrated Factors

Matteo Barigozzi, Marco Lippi, Matteo Luciani

We study a large-dimensional Dynamic Factor Model where: (i)~the vector of factors ${\mathbf{F}}_t$ is $I(1)$ and driven by a number of shocks that is smaller than the dimension of $\…