This paper aims at disentangling the sectoral and aggregate affects of both aggregate and sector-specific shocks by means of static and dynamic factor analytical models. We use two data sets, Gross Value Added and the industrial Production Index, and the results differ slightly. For the...

This paper integrates panel VARs and the index models into a unique framework where cross unit interdependencies and time variations in the coefficients are allowed for. The setup used is Bayesian and MCMC methods are used to estimate the posterior distribution of the features of interest and to...