@techreport{Moench2009Dynamic,
abstract = {This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework achieves dimension reduction and yet explicitly allows for heterogeneity between blocks. The model is estimated using a Markov chain Monte-Carlo algorithm that takes into account the hierarchical structure of the factors. We organize a panel of 447 series into blocks according to the timing of data releases and use a four-level model to study the dynamics of real activity at both the block and aggregate levels. While the effect of the economic downturn of 2007-09 is pervasive, growth cycles are synchronized only loosely across blocks. The state of the leading and the lagging sectors, as well as that of the overall economy, is monitored in a coherent framework.},
address = {New York, NY},
author = {Emanuel Moench and Serena Ng and Simon Potter},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C10; C20; C30; 330; Forecasting; monitoring; comovements; large dimensional panel; diffusion index},
language = {eng},
number = {412},
publisher = {Federal Reserve Bank of New York},
title = {Dynamic hierarchical factor models},
type = {Staff Report, Federal Reserve Bank of New York},
url = {http://hdl.handle.net/10419/60828},
year = {2009}
}
