OECD unemployment rates show long swings which dominate shorter business cycle components and these long swings show a range of common patterns. Using a panel of 21 OECD countries 1960-2002, we estimate the common factor that drives unemployment by the first principal component. This factor has...

The authors replicate and extend the Monte Carlo experiment presented in Doz et al. (2012) on alternative (time-domain based) methods for extracting dynamic factors from large datasets; they employ open source software and consider a larger number of replications and a wider set of scenarios....

In this paper, the authors comment on the Monte Carlo results of the paper by Lucchetti and Veneti (A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics), 2020)) that studies and compares the performance of the...