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.
• 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.
• Forni, M., & Gambetti, L. (2010). The dynamic effects of monetary policy: A structural factor model approach. Journal of Monetary Economics, 57(2), 203-216.

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