A Dynamic Index Model for Large Cross Sections

Danny Quah and Thomas Sargent

CEP Discussion Papers from Centre for Economic Performance, LSE

Abstract: This paper shows how standard methods can be used to formulate and estimate a dynamic index model for random fields - stochastic processes indexed by time and cross section where the time-series and cross section dimensions are comparable in magnitude. We use these study dynamic co-movements of sectoral employment in the US economy. The dynamics of employment in sixty sectors is well explained using only two unobservable factors; those factors are also strongly correlated with GNP growth.

Date: 1993-03
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Related works:
Chapter: A Dynamic Index Model for Large Cross Sections (1993)
Working Paper: A dynamic index model for large cross sections (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:cepdps:dp0132

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