A dynamic index model for large cross sections

Danny Quah () and Thomas Sargent

No 77, Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis

Abstract: This paper shows how standard methods can be used to formulate and estimate a dynamic index model for random fieldsstochastic processes indexed by time and cross section where the time-series and cross-section dimensions are comparable in magnitude. We use these to study dynamic comovements of sectoral employment in the U.S. 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.

Keywords: Econometric; models (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (25)

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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 (1993)
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