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Factor Analysis in a New-Keynesian Model

Beyer, Andreas; Farmer, Roger E A; Henry, Jérôme; … - C.E.P.R. Discussion Papers - 2005

New-Keynesian models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack of...

Persistent link: https://www.econbiz.de/10005662376

Dynamic Common Factors in Large Cross-Sections

Forni, Mario; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1995

This paper develops a method to analyse large cross-sections with non-trivial time dimensions. 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 fundamentality of the common...

Persistent link: https://www.econbiz.de/10005067411

Factor Models in Large Cross-Sections of Time Series

Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

This Paper reviews recent econometric work on factor models in large cross-sections of time series. In this literature, traditional factor analysis is adapted to develop parsimonious estimation methods for high dimension time series models. The review covers problems of consistency and rates –...

Persistent link: https://www.econbiz.de/10005498094

Common Macro Factors and Currency Premia

Filippou, Ilias; Taylor, Mark P - C.E.P.R. Discussion Papers - 2014

We study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and find that global equity market factors render strong...

Persistent link: https://www.econbiz.de/10011084700

Let's Get Real: A Dynamic Factor Analytical Approach to Disaggregated Business Cycle

Forni, Mario; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1995

This paper analyses output and productivity for 450 US industries from 1958 to 1986. We make the following contributions. (i) We develop a method based on dynamic principal components to identify the number of common shocks to our data set. (ii) We propose a simple method for the estimation of...

Persistent link: https://www.econbiz.de/10005661648

Network Effects, Standardization, and the Internet: What Have We Learned From The DVD Vs. DIVX Battle?

Dranove, David; Gandal, Neil - C.E.P.R. Discussion Papers - 1999

standardization, that is, left alone the market may fail to achieve standardization when it is socially desirable and (2) even if the …

Persistent link: https://www.econbiz.de/10005666918

The Rules of Standard Setting Organizations: An Empirical Analysis

Chiao, Benjamin; Lerner, Josh; Tirole, Jean - C.E.P.R. Discussion Papers - 2007

This paper empirically explores standard-setting organizations’ policy choices. Consistent with Lerner-Tirole (2006), we find (a) a negative relationship between the extent to which an SSO is oriented to technology sponsors and the concession level required of sponsors and (b) a positive...

Persistent link: https://www.econbiz.de/10005792070

Direct and Indirect Network Effects are Equivalent: A Comment on “Direct and Indirect Network Effects: Are They Equivalent?”

Church, Jeffrey; Gandal, Neil - C.E.P.R. Discussion Papers - 2012

do not, in the case of indirect network effects, make standardization more likely, but (ii) indirect network effects are … associated with excessive standardization. We show in Clements’ framework that neither of these results are correct …: standardization is more likely as the number of software firms increases and when the type of market equilibrium is unique— there are …

Persistent link: https://www.econbiz.de/10011084429

Legal Evolution, Contract Evolution, and Standardization

Gennaioli, Nicola; Perotti, Enrico C; Ponzetto, Giacomo AM - C.E.P.R. Discussion Papers - 2014

law matures. Contract standardization avoids this cost, statically improving enforcement; but it crowds out innovative …

Persistent link: https://www.econbiz.de/10011084669

Performance Measurement using Multiple Asset Class Portfolio Data

Blake, David; Lehmann, Bruce N; Timmermann, Allan G - C.E.P.R. Discussion Papers - 1997

Using a data set containing 364 UK pension funds’ asset holdings, this paper provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We find surprisingly little cross-sectional variation in the ex-post average performance across the UK...

Persistent link: https://www.econbiz.de/10005666475