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Activity Number: 221
Type: Topic Contributed
Date/Time: Tuesday, August 5, 2008 : 8:30 AM to 10:20 AM
Sponsor: Business and Economics Statistics Section
Abstract - #300468
Title: Dynamic Factor Models with Block Structure
Author(s): Marc Hallin*+
Companies: Université Libre de Bruxelles
Address: ECARES, CP 114, Bruxelles, B-1050, Belgium
Keywords: time series ; panel data ; dynamic factor model
Abstract:

Macroeconometric data often come under the form of large panels of time series, themselves decomposing into smaller but still quite large subpanels or blocks. We show how the dynamic factor analysis method proposed in Forni et al. (2000), combined with the identification method of Hallin and Livska (2007), allows for identifying and estimating shared and block-specific common factors, and for a subtle analysis of interrelations within and between the blocks. The method is illustrated with an analysis of the Industrial Production Index data for France and Germany.

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