Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimates. The indeterminacy of the parameter estimates with respect to orthogonal transformations is known as the rotation problem. The typical strategy in...

Due to their well-known indeterminacies, factor models require identifying assumptions to guarantee unique parameter estimates. For Bayesian estimation, these identifying assumptions are usually implemented by imposing constraints on certain model parameters. This strategy, however, may result...

Due to their well-known indeterminacies, factor models require identifying assumptions to guarantee unique parameter estimates. For Bayesian estimation, these identifying assumptions are usually implemented by imposing constraints on certain model parameters. This strategy, however, may result...

"We analyze unemployment dynamics for Germany on a regional basis by means of an approximate factor model. We first estimate the number of factors corresponding to the number of cycles. At least for the pre-'Hartz' reform data we find strong evidence for more than just one dynamic labor market...

"We analyze unemployment dynamics for Germany on a regional basis by means of an approximate factor model. We first estimate the number of factors corresponding to the number of cycles. At least for the pre-'Hartz' reform data we find strong evidence for more than just one dynamic labor market...

Government bond spreads increased rapidly during the financial turmoil in the euro area. In general, government bond spreads in the euro area are attributed to solvency and liquidity risks and determinants thereof. This paper proposes the use of latent processes to model the time variation...

Considering latent heterogeneity is of special importance in nonlinear models in order to gauge correctly the effect of explanatory variables on the dependent variable. A stratified model-based clustering approach is adapted for modeling latent heterogeneity in binary panel probit models. Within...