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A Dynamic Index Model for Large Cross Sections

  • Danny Quah
  • Thomas J. Sargent

This 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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Paper provided by Centre for Economic Performance, LSE in its series CEP Discussion Papers with number dp0132.

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Date of creation: Mar 1993
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Handle: RePEc:cep:cepdps:dp0132
Contact details of provider: Web page: http://cep.lse.ac.uk/_new/publications/series.asp?prog=CEP

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