Date: 2008
Type: Working Paper
Dynamic Factors in the Presence of Block Structure
Working Paper, EUI ECO, 2008/22
HALLIN, Marc, LIŠKA, Roman, Dynamic Factors in the Presence of Block Structure, EUI ECO, 2008/22 - https://hdl.handle.net/1814/8716
Retrieved from Cadmus, EUI Research Repository
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 Forni et al (2000), combined with the identification
method of Hallin and Liska (2007), allows for identifying and estimating joint and
block-specific common factors. This leads to a more sophisticated analysis of the structures
of dynamic interrelations within and between the blocks in such datasets, along with an informative
decomposition of explained variances. The method is illustrated with an analysis
of the Industrial Production Index data for France, Germany, and Italy.
Cadmus permanent link: https://hdl.handle.net/1814/8716
ISSN: 1725-6704
Series/Number: EUI ECO; 2008/22
Publisher: European University Institute