Discussion paper

DP3285 Factor Models in Large Cross-Sections of Time Series

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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Citation

Reichlin, L (2002), “DP3285 Factor Models in Large Cross-Sections of Time Series”, CEPR Press Discussion Paper No. 3285. https://cepr.org/publications/dp3285