Dynamic common factors in large cross-sections
This paper develops a method to analyze large cross-sections with non-trivial time dimension. The method (i) identifies the number of common shocks in a factor analytic model; (ii) estimates the unobserved common dynamic component; (iii) shows how to test for fundamentalness of the common shocks; (iv) (iv) quantifies positive and negative comovements at each frequency. We illustrate how the proposed techniques can be used for analyzing features of the business cycle and economic growth.
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|Date of creation:||1996|
|Date of revision:|
|Publication status:||Published in: Empirical Economics (1996) v.21 n° 1,p.27-42|
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