Dynamic Common Factors in Large Cross-Sections

Mario Forni and Lucrezia Reichlin

No 1285, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper develops a method to analyse large cross-sections with non-trivial time dimensions. 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 fundamentality of the common shocks; and (iv) quantifies positive and negative comovements at each frequency. We illustrate how the proposed techniques can be used for analysing features of the business cycle and economic growth.

Keywords: Business Cycle; Factor Analysis; Principal Components; Sectoral Comovements (search for similar items in EconPapers)
JEL-codes: C51 E32 O30 (search for similar items in EconPapers)
Date: 1995-12
References: Add references at CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=1285 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: Dynamic Common Factors in Large Cross-Sections (1996)
Working Paper: Dynamic common factors in large cross-sections (1996)
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:cpr:ceprdp:1285

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=1285

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().