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Application of factor models for the identification of countries sharing international reference-cycles

Author

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  • Santos, Sonia de Lucas
  • Rodríguez, María Jesús Delgado
  • Ayuso, Inmaculada Álvarez

Abstract

Using the methodology developed in Stock and Watson (2002a), this paper proposes to exploit the information that contains the factor loading to identify the countries sharing common factors. The proposal is illustrated by analyzing the relation with the international reference-cycle of a large sample of advanced countries from 1950 until 2006.

Suggested Citation

  • Santos, Sonia de Lucas & Rodríguez, María Jesús Delgado & Ayuso, Inmaculada Álvarez, 2011. "Application of factor models for the identification of countries sharing international reference-cycles," Economic Modelling, Elsevier, vol. 28(6), pages 2424-2431.
    • Handle: RePEc:eee:ecmode:v:28:y:2011:i:6:p:2424-2431
    DOI: 10.1016/j.econmod.2011.07.001
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    References listed on IDEAS

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    18. Bueno, José Luis Cendejas & Santos, Sonia de Lucas & Rodríguez, Ma Jesús Delgado & Ayuso, Inmaculada Álvarez, 2011. "Testing for structural breaks in factor loadings: An application to international business cycle," Economic Modelling, Elsevier, vol. 28(1), pages 259-263.
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    More about this item

    Keywords

    Business fluctuations; Cycles; Factor models; Principal components;
    All these keywords.

    JEL classification:

    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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