We introduce a novel estimator for the number of common dynamic shocks for large dynamicfactor models. The noticeable feature of our estimator is that it can be applied to single frequencies as well as to given frequency bands, making it extremely suited to disentangle the shocks a acting the...

We investigate the role of "noise" shocks as a source of business cycle fluctuations. To do so we set up a simple model of imperfect information and derive restrictions for identifying the noise shock in a VAR model. The novelty of our approach is that identification is reached by means of...