Title:Dynamic Factors in the Presence of Block Structure
Author(s):HALLIN, Marc; LIŠKA, RomanDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/22Abstract:Macroeconometric data often come under the form of large panels of time series, themselves
decomposing into smaller but still quite large subpanels or blocks. We show how the
dynamic factor analysis method proposed in ...