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Factor Models in Large Cross-Sections of Time Series

Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

This Paper reviews recent econometric work on factor models in large cross-sections of time series. In this literature, traditional factor analysis is adapted to develop parsimonious estimation methods for high dimension time series models. The review covers problems of consistency and rates –...

Persistent link: https://www.econbiz.de/10005498094

Common Macro Factors and Currency Premia

Filippou, Ilias; Taylor, Mark P - C.E.P.R. Discussion Papers - 2014

We study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and find that global equity market factors render strong...

Persistent link: https://www.econbiz.de/10011084700

Dynamic Common Factors in Large Cross-Sections

Forni, Mario; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1995

This paper develops a method to analyse large cross-sections with non-trivial time dimensions. The method: (i) identifies the number of common shocks in a factor analytic model; (ii) estimates the unobserved common dynamic component; (iii) shows how to test for fundamentality of the common...

Persistent link: https://www.econbiz.de/10005067411

Let's Get Real: A Dynamic Factor Analytical Approach to Disaggregated Business Cycle

Forni, Mario; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1995

This paper analyses output and productivity for 450 US industries from 1958 to 1986. We make the following contributions. (i) We develop a method based on dynamic principal components to identify the number of common shocks to our data set. (ii) We propose a simple method for the estimation of...

Persistent link: https://www.econbiz.de/10005661648

Factor Analysis in a New-Keynesian Model

Beyer, Andreas; Farmer, Roger E A; Henry, Jérôme; … - C.E.P.R. Discussion Papers - 2005

New-Keynesian models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack of...

Persistent link: https://www.econbiz.de/10005662376

The Caloric Costs of Culture: Evidence from Indian Migrants

Atkin, David - C.E.P.R. Discussion Papers - 2013

inter-state migrants within India consume fewer calories per Rupee of food expenditure compared to their non … on culture: that migrants make nutritionally-suboptimal food choices due to cultural preferences for the traditional … foods of their origin states. First, I focus on the preferences themselves and document that migrants bring their origin …

Persistent link: https://www.econbiz.de/10011083900

Sources of Growth: the Entrepreneurial versus the Managed Economy

Audretsch, David B; Thurik, A R Roy - C.E.P.R. Discussion Papers - 1997

The purpose of this paper is to suggest that a fundamental shift in Europe, along with the other OECD countries, is …

Persistent link: https://www.econbiz.de/10005504288

The Macroeconomic Impact of Flexible Labour Contracts: An Application to Spain

Bentolila, Samuel; Saint-Paul, Gilles - C.E.P.R. Discussion Papers - 1991

This paper constructs a theoretical model to study the effects on employment of the introduction of flexible labour contracts (i.e. with low firing costs), which occurred in many European countries in the 1980s, which it then tests on Spanish data. The model predicts that such contracts increase...

Persistent link: https://www.econbiz.de/10005504305

From Baghdad to London: The Dynamics of Urban Growth in Europe and the Arab World, 800-1800

Bosker, Maarten; Buringh, Eltjo; Zanden, Jan Luiten Van - C.E.P.R. Discussion Papers - 2008

On the basis of a large (new) dataset of cities in Europe, North Africa and the Middle East in the millennium between … from Iraq (or more generally the Arab world) to Western Europe and to the shores of the Atlantic (during the 17th and 18th …

Persistent link: https://www.econbiz.de/10005504754

Out in the Cold? Outsiders and Insiders in 1999: Feasible and Unfeasible Options

Spaventa, Luigi - C.E.P.R. Discussion Papers - 1996

If the third stage of monetary union in Europe begins on 1 January 1999, not all EU countries will participate: two …

Persistent link: https://www.econbiz.de/10005497702