Dynamic factors in the presence of blocks

Journal of Econometrics

Volumn 163, Issue 1, 2011, Pages 29-41

  Hallin, Marc ^a,b,c,d   Lişka, Roman ^a,e  

^a UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^b PRINCETON UNIVERSITY   (United States)

^c TILBURG UNIVERSITY   (Netherlands)

^d Bruxelles and Louvain la Neuve ^*  (Belgium)

^e JOINT RESEARCH CENTRE   (Italy)

Author keywords

Dynamic factor model; Dynamic principal components; High dimensional time series data; Panel data

Indexed keywords

COMMON FACTORS; DATA SETS; DYNAMIC FACTOR ANALYSIS; DYNAMIC FACTOR MODELS; DYNAMIC FACTORS; GERMANY; HIGH DIMENSIONAL TIME SERIES DATA; IDENTIFICATION METHOD; INDUSTRIAL PRODUCTION; PANEL DATA;

DECOMPOSITION; PRINCIPAL COMPONENT ANALYSIS; TIME SERIES;

DYNAMIC ANALYSIS;

EID: 79956359129     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.11.004     Document Type: Conference Paper

References (44)

1. d'Agostino, A.; Giannone, D.; 2005. Comparing alternative predictors based on large-panel dynamic factor models. ECB Working Paper 680.
2. Aiolfi, M.; Cato, L.; Timmerman, A.; 2006. Common factors in Latin America's business cycle. Working Paper 06/49. International Monetary Fund.
3. Altissimo, F.; Bassanetti, A.; Cristadoro, R.; Forni, M.; Hallin, M.; Lippi, M.; Reichlin, L.; 2001. A real time coincident indicator of the euro area business cycle. CEPR Discussion Paper 3108.
4. Angelini, E.; Henry, J.; Mestre, R.; 2001. Diffusion index based inflation forecasts for the euro area. ECB Working Paper 61.
5. M. Artis, A. Banerjee, and M. Marcellino Factor forecasts for the UK Journal of Forecasting 24 2005 279 298 (Pubitemid 41048888)
6. J. Bai, and S. Ng Determining the number of factors in approximate factor models Econometrica 70 2002 191 221 (Pubitemid 34288243)
7. J. Bai, and S. Ng Determining the number of primitive shocks in factor models Journal of Business and Economic Statistics 25 2007 52 60
8. B.S. Bernanke, and J. Boivin Monetary policy in a data rich environment Journal of Monetary Economics 50 2003 525 546 (Pubitemid 36613918)
9. D.R. Brillinger Time Series: Data Analysis and Theory 1981 Holden-Day San Francisco
10. C. Bruneau, A. De Bandt, A. Flageollet, and E. Michaux Forecasting inflation using economic indicators: the case of France Journal of Forecasting 26 2007 1 22 (Pubitemid 46180758)
11. J.Y. Campbell, A.W. Lo, and A.C. MacKinlay The Econometrics of Financial Markets 1997 Princeton University Press Princeton
12. G. Chamberlain Funds, factors, and diversification in arbitrage pricing models Econometrica 51 1983 1281 1304
13. G. Chamberlain, and M. Rothschild Arbitrage, factor structure and mean-variance analysis in large asset markets Econometrica 51 1983 1305 1324
14. Den Reijer, A.H.J.; 2005. Forecasting Dutch GDP using large scale factor models. DNB Working Paper 028. De Nederlandsche Bank, Research Department.
15. C. Dreger, and C. Schumacher Estimating large scale factor models for economic activity in Germany A. Wagner, Jahrbcher fr Nationalkonomie und Statistik 2004 Lucius & Lucius Verlagsgesellschaft Stuttgart 731 750
16. C. Favero, M. Marcellino, and F. Neglia Principal components at work: empirical analysis of monetary policy with large datasets Journal of Applied Econometrics 20 2005 603 620 (Pubitemid 41152663)
17. M. Forni, and M. Lippi The generalized factor model: representation theory Econometric Theory 17 2001 1113 1141 (Pubitemid 33720743)
18. M. Forni, and L. Reichlin Let's get real: a factor analytical approach to disaggregated business cycle dynamics Review of Economic Studies 65 1998 453 473 (Pubitemid 128505122)
19. M. Forni, M. Hallin, M. Lippi, and L. Reichlin The generalized dynamic factor model: identification and estimation Review of Economics and Statistics 82 2000 540 554
20. M. Forni, M. Hallin, M. Lippi, and L. Reichlin Do financial variables help forecasting inflation and real activity in the euro area? Journal of Monetary Economics 50 2003 1243 1255 (Pubitemid 37155237)
21. M. Forni, M. Hallin, M. Lippi, and L. Reichlin The generalized dynamic factor model: consistency and rates Journal of Econometrics 119 2004 231 255
22. M. Forni, M. Hallin, M. Lippi, and L. Reichlin The generalized dynamic factor model: one-sided estimation and forecasting Journal of the American Statistical Association 100 2005 830 840 (Pubitemid 41276330)
23. M. Forni, D. Giannone, M. Lippi, and L. Reichlin Opening the black box: structural factor models with large cross sections Econometric Theory 25 2009 1319 1347
24. J. Geweke The dynamic factor analysis of economic time series D.J. Aigner, A.S. Goldberger, Latent Variables in Socio-Economic Models 1977 North-Holland Amsterdam
25. D. Giannone, and T. Matheson A new core inflation index for New Zealand International Journal of Central Banking 3 2007 145 180
26. D. Giannone, L. Reichlin, and L. Sala Monetary policy in real time M. Gertler, K. Rogoff, NBER Macroeconomic Annual 2004 2005 MIT Press Cambridge, Mass 161 200 (Pubitemid 40899675)
27. D. Giannone, L. Reichlin, and L. Sala VARs, factor models and the empirical validation of equilibrium business cycle models Journal of Econometrics 132 2006 257 279
28. M. Hallin, and R. Lika Determining the number of factors in the general dynamic factor model Journal of the American Statistical Association 102 2007 603 617
29. M. Hallin, Ch. Mathias, H. Pirotte, and D. Veredas Market liquidity as dynamic factors Journal of Econometrics 163 2011 42 50
30. J. Ingersol Some results in the theory of arbitrage pricing The Journal of Finance 39 1984 1021 1039
31. P. Lancaster, and M. Tismenetsky The Theory of Matrices 2nd ed. 1985 Academic Press Orlando
32. M. Marcellino, J. Stock, and M.W. Watson Macroeconomic forecasting in the euro area: country specific versus area wide information European Economic Review 47 2003 1 18 (Pubitemid 36141529)
33. Ng, S.; Moench, E.; 2009. A hierarchical factor analysis of US housing market. Econometrics Journal (in press).
34. Ng, S.; Moench, E.; Potter, S.; 2008. Dynamic hierarchical factor models. Mimeo. Columbia University.
35. C. Nieuwenhuyzen A generalized dynamic factor model for the Belgian economy Journal of Business Cycle Measurement and Analysis 2 2004 213 248
36. P. Robinson Automatic frequency domain inference on semiparametric and nonparametric problems Econometrica 59 1991 1329 1363
37. Sargent, T.J.; Sims, C.A.; 1977. Business cycle modelling without pretending to have too much a priori economic theory. In Sims, C.A. (Ed.), New Methods in Business Research. Federal Reserve Bank of Minneapolis, Minneapolis.
38. Schneider, M.; Spitzner, M.; 2004. Forecasting Austrian GDP using the generalized dynamic factor model. Working Paper 89. sterreichische Nationalbank. Vienna.
39. C. Schumacher Forecasting German GDP using alternative factor models based on large data sets Journal of Forecasting 26 2007 271 302 (Pubitemid 47182274)
40. J.H. Stock, and M.W. Watson New indices of coincident and leading indicators O.J. Blanchard, S. Fischer, NBER Macroeconomics Annual 1989 1989 MIT Press Cambridge, Mass
41. J.H. Stock, and M.W. Watson Macroeconomic forecasting using diffusion indexes Journal of Business & Economic Statistics 20 2002 147 162
42. J.H. Stock, and M.W. Watson Forecasting using principal components from a large number of predictors Journal of the American Statistical Association 97 2002 1167 1179 (Pubitemid 36136574)
43. Stock, J.H.; Watson, M.W.; 2005. Implications of dynamic factor models for VAR analysis. NBER Working Paper 11467.
44. T. Yao Dynamic factors and the source of momentum profits Journal of Business & Economic Statistics 26 2008 211 226