Application of factor models for the identification of countries sharing international reference-cycles

Using the methodology developed in Stock and Watson (2002a), this paper proposes to exploit the information that contains the factor loading to identify the countries sharing common factors. The proposal is illustrated by analyzing the relation with the international reference-cycle of a large sample of advanced countries from 1950 until 2006.

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Year of publication:	2011
Authors:	Santos, Sonia de Lucas ; Rodríguez, María Jesús Delgado ; Ayuso, Inmaculada Álvarez
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 28.2011, 6, p. 2424-2431
Publisher:	Elsevier
Subject:	Business fluctuations \| Cycles \| Factor models \| Principal components

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Type of publication:	Article
Classification:	F41 - Open Economy Macroeconomics ; C13 - Estimation ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011048707