Long-Run Economic Growth pp 27-42 | Cite as
Dynamic Common Factors in Large Cross-Sections
Conference paper
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) 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.
Key Words
Business cycle sectoral comovements factor analysis principal componentsJEL Classification System-Numbers
E32 O30 C51Preview
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© Physica-Verlag Heidelberg 1996