We analyze a panel of output series for India, disaggregated by 15 states and 14 broad industry groups. Using principal components (Bai, 2004; Bai and Ng, 2004) we find that a single common “V-factor” captures well the significant shift in the cross-sectional distribution of state-sectoral...

This paper investigates structural identification and residual-based bootstrap inference schemes for impulse response functions (IRFs) in factor-augmented vector autoregressions (FAVARs). I first discuss general conditions for structural identification, which also resolve the random rotation of...

Time instability in factor loadings can induce an overfitting problem in forecasting analyses since the structural change in factor loadings inflates the number of principal components and thus produces spurious factors. This paper proposes an algorithm to estimate non-spurious factors by...

The ratio of Indian to US per capita output over the past 45 years has displayed a distinctive V-shaped pattern. We show that a strikingly similar V-shaped pattern is visible not just in aggregate output .figures, but also as the primary determinant of long-term movements in the cross-sectional...

Following Bai (2004) and Bai and Ng (2004) we estimate a common factor representation of a panel of output series for India, disaggregated by 15 states and 14 broad industry groups. We find that a single common V-Factor accounts for a large part of the significant shift in the cross-sectional...

The ratio of Indian to US per capita output over the past 45 years has displayed a distinctive "V"-shaped pattern. We show that a strikingly similar V-shaped pattern is visible not just in aggregate output figures, but also as the primary determinant of long-term movements in the cross-sectional...

Following Bai (2004) and Bai and Ng (2004) we estimate a common factor representation of a panel of output series for India, disaggregated by 15 states and 14 broad industry groups. We find that a single common "V-Factor" accounts for a large part of the significant shift in the cross-sectional...

The ratio of Indian to US per capita output over the past 45 years has displayed a distinctive "V"-shaped pattern. We show that a strikingly similar V-shaped pattern is visible not just in aggregate output .figures, but also as the primary determinant of long-term movements in the...