EconPapers    
Economics at your fingertips  
 

Detecting Granular Time Series in Large Panels

Christian Brownlees () and Geert Mesters ()

No 991, Working Papers from Barcelona Graduate School of Economics

Abstract: Large economic and financial panels often contain time series that influence the entire cross-section. We name such series granular. In this paper we introduce a panel data model that allows to formalize the notion of granular time series. We then propose a methodology, which is inspired by the network literature in statistics and econometrics, to detect the set of granulars when such set is unknown. The influence of the i-th series in the panel is measured by the norm of the i-th column of the inverse covariance matrix. We show that a detection procedure based on the column norms allows to consistently select granular series when the cross-section and time series dimensions are large. Importantly, the methodology allows to consistently detect granulars also when the series in the panel are influenced by common factors. A simulation study shows that the proposed procedures perform satisfactorily in finite samples. Our empirical studies demonstrate, among other findings, the granular influence of the automobile sector in US industrial production.

Keywords: granularity; network models; factor models; panel data; industrial production; CDS spreads (search for similar items in EconPapers)
JEL-codes: C33 C38 (search for similar items in EconPapers)
Date: 2017-09
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://www.barcelonagse.eu/sites/default/files/working_paper_pdfs/991.pdf (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:bge:wpaper:991

Access Statistics for this paper

More papers in Working Papers from Barcelona Graduate School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Bruno Guallar ().

 
Page updated 2020-11-23
Handle: RePEc:bge:wpaper:991