Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/273832 
Year of Publication: 
2023
Series/Report no.: 
Tinbergen Institute Discussion Paper No. TI 2023-021/III
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
We analyze the role of industrial and non-industrial production sectors in the US economy by adopting a novel multilevel factor model. The proposed model is suitable for high-dimensional panels of economic time series and allows for interdependence structures across multiple sectors. The estimation procedure is based on a multistep least squares method which is simple and fast in its implementation. By analyzing the shock propagation process throughout the network of interconnections, we corroborate some of the key findings about the role of industrial production in the US economy, quantify the importance of propagation effects and shed new light on dynamic sectoral linkages.
Subjects: 
Dynamic factor model
Interconnectedness
Output growth.
JEL: 
C22
C32
C38
C51
Document Type: 
Working Paper

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