EconPapers    
Economics at your fingertips  
 

Non-Stationary Dynamic Factor Models for Large Datasets

Matteo Barigozzi, Marco Lippi and Matteo Luciani

No 2016-024, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We study a Large-Dimensional Non-Stationary Dynamic Factor Model where (1) the factors Ft are I (1) and singular, that is Ft has dimension r and is driven by q dynamic shocks with q less than r, (2) the idiosyncratic components are either I (0) or I (1). Under these assumption the factors Ft are cointegrated and modeled by a singular Error Correction Model. We provide conditions for consistent estimation, as both the cross-sectional size n, and the time dimension T, go to infinity, of the factors, the loadings, the shocks, the ECM coefficients and therefore the Impulse Response Functions. Finally, the numerical properties of our estimator are explored by means of a MonteCarlo exercise and of a real-data application, in which we study the effects of monetary policy and supply shocks on the US economy.

Keywords: Dynamic Factor models; Cointegration; Common trends; Impulse response functions; Unit root processes (search for similar items in EconPapers)
JEL-codes: C00 C01 E00 (search for similar items in EconPapers)
Pages: 66 pages
Date: 2016-03-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
https://www.federalreserve.gov/econresdata/feds/2016/files/2016024r1pap.pdf Revision (application/pdf)
https://www.federalreserve.gov/econresdata/feds/2016/files/2016024pap.pdf Original (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:fip:fedgfe:2016-24

DOI: 10.17016/FEDS.2016.024r1

Access Statistics for this paper

More papers in Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().

 
Page updated 2025-03-22
Handle: RePEc:fip:fedgfe:2016-24