A Dynamic Index Model for Large Cross Sections
In: Business Cycles, Indicators and Forecasting
AbstractThis paper shows how standard methods can be used to formulate and estimate a dynamic index model for random fields - stochastic processes indexed by time and cross section where the time-series and cross section dimensions are comparable in magnitude. We use these study dynamic co-movements of sectoral employment in the US economy. The dynamics of employment in sixty sectors is well explained using only two unobservable factors; those factors are also strongly correlated with GNP growth.
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Other versions of this item:
- Danny Quah & Thomas J. Sargent, 1992. "A dynamic index model for large cross sections," Discussion Paper / Institute for Empirical Macroeconomics 77, Federal Reserve Bank of Minneapolis.
- Danny Quah & Thomas J. Sargent, 1993. "A Dynamic Index Model for Large Cross Sections," CEP Discussion Papers dp0132, Centre for Economic Performance, LSE.
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