EconPapers    
Economics at your fingertips  
 

Dynamic Common Factors in Large Cross-Sections

Mario Forni () and Lucrezia Reichlin ()

Empirical Economics, 1996, vol. 21, issue 1, 27-42

Abstract: 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.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (48) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Dynamic common factors in large cross-sections (1996)
Working Paper: Dynamic Common Factors in Large Cross-Sections (1995) Downloads
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:spr:empeco:v:21:y:1996:i:1:p:27-42

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2019-08-20
Handle: RePEc:spr:empeco:v:21:y:1996:i:1:p:27-42