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Comovements and Heterogeneity in the Comovements and Heterogeneity in the Dynamic Factor Model

Sandra Eickmeier

出版	SSRN, 2016
URL	http://books.google.com.hk/books?id=MtP-zgEACAAJ&hl=&source=gbs_api

註釋

This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro-area macroeconomic variables observed between 1982 and 2003. This framework allows us to estimate stationary and non-stationary common factors and idiosyncratic components, to identify the structural shocks behind the.