Comovements and Heterogeneity in the Comovements and Heterogeneity in the Dynamic Factor Model

This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro-area macroeconomic variables observed between 1982 and 2003. This framework allows us to estimate stationary and non-stationary common factors and idiosyncratic components, to identify the structural shocks behind the

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Year of publication:	2016
Authors:	Eickmeier, Sandra
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Faktorenanalyse \| Factor analysis \| Schätzung \| Estimation \| Dynamische Wirtschaftstheorie \| Economic dynamics \| Konjunkturzusammenhang \| Business cycle synchronization \| Korrelation \| Correlation

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Extent:	1 Online-Ressource (68 p)
Series:	Bundesbank Series 1 Discussion Paper ; No. 2006,31
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2006 erstellt
Other identifiers:	10.2139/ssrn.2785258 [DOI]
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; E32 - Business Fluctuations; Cycles ; F00 - International Economics. General ; E5 - Monetary Policy, Central Banking and the Supply of Money and Credit
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012991172