动态因子模型的结构识别研究

Research on the structure identification of dynamic factor model

为了将关于动态因子模型载荷矩阵元素的零约束和外生冲击脉冲响应函数的零约束合并,本文首先提出了一类识别动态因子模型的零识别约束;其次,在这类零识别约束条件下,本文分别给出了判断动态因子模型可全局识别和恰好识别的秩条件.此外,对于恰好识别的动态因子模型,本文还给出了一种识别算法,该算法可以有效地解决在实证分析中动态因子模型的识别问题.

In order to combine the zero restrains that imposed on loading matrix and the impulse response function of dynamic factor models, this paper proposes a set of zero restrictions identification scheme of the dynamic factor models. Under this identifications scheme, we establish general rank conditions for global identification of both over-identified and exactly identified dynamic factor models. In addition, for the exactly identified dynamic factor models, we develop an efficient algorithms, this algorithm can effectively solve the identification problem in the empirical analysis of the dynamic factor model.