Title: Identification of macroeconomic factors in large panels
Authors: Bork, Lasse
Dewachter, Hans
Houssa, Romain
Issue Date: 2009
Publisher: K.U.Leuven - Centrum voor economische studiën
Series Title: CES - Discussion paper series 09.18 pages:1-43
Abstract: This paper presents a dynamic factor model in which the extracted factors and shocks are given a clear economic interpretation. The economic interpretation of the factors is obtained by means of a set of overidentifying loading restrictions, while the structural shocks are estimated following standard practices in the SVAR literature. Estimators based on the EM algorithm are developped. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we identify nine macroeconomic factors and discuss the economic impact of monetary policy stocks. The results are theoretically plausible and in line with other findings in the literature.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center of International Economics, Leuven

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