his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random coefficients. We provide a rigorous analysis, based on results on sums of r.v.'s with a possibly finite first moment, of the aggregate variance and spectral density, as the number of...

This paper uses a dynamic factor model recently studied by Forni, Hallin, Lippi and Reichlin (2000) to analyze the response of 21 U.S. interest rates to news. Using daily data, we find that the news that affects interest rates daily can be summarized by two common factors. This finding is robust...

In many important textbooks the formal statement of the Spectral RepresentationTheorem is followed by a process version, usually informal, stating thatany stationary stochastic process g is the limit in quadratic mean of asequence of processes, each consisting of a finite sum of...

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is based on the generalized dynamic factor model proposed in Forni, Hallin, Lippi, and Reichlin (2000), and takes advantage of the information on the dynamic covariance structure...

This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We establish sufficient conditions for identification of the structural shocks and the associated impulse response functions. In particular, we argue that, if the data follow an approximate factor...

This Paper is the result of the Bank of Italy-CEPR project to construct a monthly coincident indicator of the business cycle of the euro area. The index is estimated on the basis of a harmonized data set of monthly statistics of the euro area (951 series) which we constructed from a variety of...

The work studies the processes of growth of the world top 150 pharmaceutical firms, on the grounds of an original database which allows also disaggregate analysis at the level of single therapeutical classes and chemical entities.Our findings show that the industry -whose long-term evolution is...

This paper uses a dynamic factor model recently studied by Forni, Hallin, Lippi and Reichlin (2000) to analyze the response of 21 U.S. interest rates to news. Using daily data, we find that the news that affects interest rates daily can be summarized by two common factors. This finding is robust...