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: C13 E32 F41 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999311001623
Full text for ScienceDirect subscribers only
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:eee:ecmode:v:28:y:2011:i:6:p:2424-2431
DOI: 10.1016/j.econmod.2011.07.001
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().