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'...

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...

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 introduces a novel dynamic factor model designed to capture common locally explosive episodes, also known as common bubbles, within large-dimensional, potentially non-stationary time series. The model leverages a lower-dimensional set of factors exhibiting locally explosive behavior...