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Discussion Paper Details

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Title: Factor Models in Large Cross-Sections of Time Series

Author(s): Lucrezia Reichlin

Publication Date: March 2002

Keyword(s): business cycles, factor analysis and panel data

Programme Area(s): International Macroeconomics

Abstract: 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 ? as the dimension of the cross-section and the time dimension become large ? identification and forecasting. We also review empirical applications on measuring and interpreting business cycles.

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Bibliographic Reference

Reichlin, L. 2002. 'Factor Models in Large Cross-Sections of Time Series'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=3285