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Factor Models in Large Cross-Sections of Time Series

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  • Reichlin, Lucrezia

Abstract

This Paper reviews recent econometric work on factor models in large cross-sections of time series. In this literature, traditional factor analysis is adapted to develop parsimonious estimation methods for high dimension time series models. The review covers problems of consistency and rates – as the dimension of the cross-section and the time dimension become large – identification and forecasting. We also review empirical applications on measuring and interpreting business cycles.

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Bibliographic Info

Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3285.

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Date of creation: Mar 2002
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Handle: RePEc:cpr:ceprdp:3285

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Keywords: business cycles; factor analysis; panel data;

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References

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Citations

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Cited by:
  1. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, School of Economics and Management, University of Aarhus.
  2. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
  3. Marlene Amstad & Andreas M. Fischer, 2005. "Shock identification of macroeconomic forecasts based on daily panels," Staff Reports 206, Federal Reserve Bank of New York.
  4. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "A Dynamic Factor Analysis of Business Cycle on Firm-Level Data," LEM Papers Series 2006/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  5. Daniel Grenouilleau, 2006. "The Stacked Leading Indicators Dynamic Factor Model: A Sensitivity Analysis of Forecast Accuracy using Bootstrapping," European Economy - Economic Papers 249, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  6. Cimadomo, Jacopo & Bénassy-Quéré, Agnès, 2012. "Changing patterns of fiscal policy multipliers in Germany, the UK and the US," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 845-873.
  7. Thomas Helbling & Tamim Bayoumi, 2003. "Are they All in the Same Boat? the 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages," IMF Working Papers 03/46, International Monetary Fund.

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