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

de Lucas Santos Sonia, María Jesús Delgado Rodríguez and Inmaculada Álvarez ()

Economic Modelling, 2011, vol. 28, issue 6, 2424-2431

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.

Keywords: Business fluctuations; Cycles; Factor models; Principal components (search for similar items in EconPapers)
JEL-codes: F41 C13 E32 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:6:p:2424-2431

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