We propose a new rank-based test for the number of common primitive shocks, q, in large panel data. After estimating a VAR(1) model on r static factors extracted by principal component analysis, we estimate the number of common primitive shocks by testing the rank of the VAR residuals'...

This paper introduces the Trade Policy Activity (TPA) Index, a novel indicator measuring evolving global trade policy dynamics since the Global Financial Crisis. Using a Dynamic Factor Model on comprehensive trade policy data covering 197 countries and territories, we document a structural shift...

This paper develops an econometric framework for identifying latent factors that provide real-time estimates of supply and demand conditions shaping goods- and services-related price pressures in the U.S. economy. The factors are estimated using category-specific personal consumption...

We propose a new rank-based test for the number of common primitive shocks, q, in large panel data. After estimating a VAR(1) model on r static factors extracted by principal component analysis, we estimate the number of common primitive shocks by testing the rank of the VAR residuals'...

The main aim of this paper is to review recent advances in the multivariate autoregressive index model [MAI] and their applications to economic and financial time series. MAI has recently gained momentum because it can be seen as a link between two popular but distinct multivariate time series...