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In this regard, they are incapable of addressing dynamic and simultaneous interactions among a set of macroeconomic variables, a problem that falls within the realm of structural analysis. This paper aims to contribute to the existing literature by studying a homogeneous panel vector autoregression (VAR) model with interactive fixed effects. The panel VAR model in question is flexible in that it can accommodate an arbitrary lag length and observable regressors that can be individual-specific or common. For factor VAR models with both a large cross-section (C) and a large time (T) dimension, we derive the limiting distribution of the interactive fixed estimator, allowing structural analysis to be extended to panel VAR models with interactive fixed effects.<\/jats:p>","DOI":"10.1093\/ectj\/utaa021","type":"journal-article","created":{"date-parts":[[2020,7,17]],"date-time":"2020-07-17T19:08:03Z","timestamp":1595012883000},"page":"225-246","source":"Crossref","is-referenced-by-count":7,"title":["Panel VAR models with interactive fixed effects"],"prefix":"10.1093","volume":"24","author":[{"given":"Mustafa","family":"Tu\u011fan","sequence":"first","affiliation":[{"name":"Department of Economics, Social Sciences University of Ankara, Faculty of Political Sciences, H\u00fck\u00fcmet Meydan\u0131, No. 2, 06030, Ulus, Alt\u0131nda\u011f, Ankara, 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