par Forni, Mario;Reichlin, Lucrezia 
Référence Empirical Economics, 21, 1, page (27-42)
Publication Publié, 1996
Référence Empirical Economics, 21, 1, page (27-42)
Publication Publié, 1996
Article révisé par les pairs
| Résumé : | This paper develops a method to analyze large cross-sections with non-trivial time dimension. 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 fundamentalness of the common shocks; (iv) quantifies positive and negative comovements at each frequency. We illustrate how the proposed techniques can be used for analyzing features of the business cycle and economic growth. |
