Dear all, has anyone of you ever done a FAVAR in the style of Bernanke et al (2005)? I am looking for someone to compare notes with, as I am trying to implement a FAVAR at present and get somewhat implausible results. I have trouble finding the mistake I made, because all that is economically interpretable in a FAVAR are the impulse responses at the end. Therefore I'm unsure where I slipped up. It would be great hearing from any of you, who has done this before. I hope this is not an inappropriate request on this list. Best, Britta