dynamic_factor_models

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dynamic_factor_models

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# dynamic_factor_models

This is a respository for the project to replicate some results of dynamic factor models. Tentatively planned papers are
- [Stock, J. H., & Watson, M. W. (2016). Dynamic factor models, factor-augmented vector autoregressions, and structural vector autoregressions in macroeconomics. In Handbook of macroeconomics (Vol. 2, pp. 415-525). Elsevier.](https://www.sciencedirect.com/science/article/pii/S1574004816300027)
- [Barigozzi, M., Conti, A. M., & Luciani, M. (2014). Do euro area countries respond asymmetrically to the common monetary policy?. Oxford bulletin of economics and statistics, 76(5), 693-714.](https://onlinelibrary.wiley.com/doi/abs/10.1111/obes.12038)
- [Forni, M., & Gambetti, L. (2010). The dynamic effects of monetary policy: A structural factor model approach. Journal of Monetary Economics, 57(2), 203-216.](https://www.sciencedirect.com/science/article/pii/S0304393209001597)

**Any contribution would be appreciated!!**
- post issue if you find any error or if you want a new feature
- send pull request if you can contribute to the repository

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