Discovering common trends in a large set of disaggregates: statistical procedures and their properties
Guillermo Carlomagno
Authors registered in the RePEc Author Service: Antoni Espasa
DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de EstadÃstica
Abstract:
The objective of this paper is to model all the N components of a macro or business variable. Our contribution concerns cases with a large number (hundreds) of components, for which multivariate approaches are not feasible. We extend in several directions the pairwise approach originally proposed by Espasa and Mayo-Burgos (2013) and study its statistical properties. The pairwise approach consists on performing common features tests between the N(N-1)/2 pairs of series that exist in the aggregate. Once this is done, groups of series that share common features can be formed. Next, all the components are forecast using single equation models that include the restrictions derived by the common features. In this paper we focus on discovering groups of components that share single common trends. We study analytically the asymptotic properties of the procedure. We also carry out a comparison with a DFM alternative; results indicate that the pairwise approach dominates in many empirically relevant situations. A clear advantage of the pairwise approach is that it does not need common features to be pervasive.
Keywords: Cointegration; Factor; Models; Disaggregation; Pairwise; tests (search for similar items in EconPapers)
Date: 2016-08-01
New Economics Papers: this item is included in nep-ecm and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)
Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... bdad7296344f/content (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws1519
Access Statistics for this paper
More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de EstadÃstica
Bibliographic data for series maintained by Ana Poveda ().