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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

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

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

The Caloric Costs of Culture: Evidence from Indian Migrants

Atkin, David - C.E.P.R. Discussion Papers - 2013

inter-state migrants within India consume fewer calories per Rupee of food expenditure compared to their non … on culture: that migrants make nutritionally-suboptimal food choices due to cultural preferences for the traditional … foods of their origin states. First, I focus on the preferences themselves and document that migrants bring their origin …

Persistent link: https://www.econbiz.de/10011083900

Corporate Efficiency in Europe

Hanousek, Jan; Kocenda, Evzen; Shamshur, Anastasiya - C.E.P.R. Discussion Papers - 2015

Europe. We find that (i) larger firms are less efficient than smaller firms, (ii) greater leverage contributes to corporate …

Persistent link: https://www.econbiz.de/10011213309

Income inequality, decentralisation and regional development in Western Europe

Pike, Andy J; Rodriguez-Pose, Andres; Tomaney, John; … - C.E.P.R. Discussion Papers - 2011

Western Europe has an effect on within regional interpersonal inequality. Second, whether this potential relationship is …

Persistent link: https://www.econbiz.de/10009322504

The Causal Effect of Education on Health: What is the Role of Health Behaviors?

Brunello, Giorgio; Fort, Margherita; Schneeweis, Nicole; … - C.E.P.R. Discussion Papers - 2011

We study the contribution of health-related behaviors to the health-education gradient by distinguishing between short-run and long-run mediating effects: while in the former only current or lagged behaviors are taken into account, in the latter we consider the entire history of behaviors. We...

Persistent link: https://www.econbiz.de/10009385763

Austerity and Anarchy: Budget Cuts and Social Unrest in Europe, 1919-2008

Ponticelli, Jacopo; Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2011

Does fiscal consolidation lead to social unrest? Using cross-country evidence for the period 1919 to 2008, we examine the extent to which societies become unstable after budget cuts. The results show a clear correlation between fiscal retrenchment and instability. We test if the relationship...

Persistent link: https://www.econbiz.de/10009201119