Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/98718 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Bundesbank Discussion Paper No. 11/2014
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based on canonical correlations that are much simpler and faster than Bayesian approaches previously employed in the literature. Monte Carlo simulations suggest that the estimators perform well in typical sample sizes encountered in the factor analysis of macroeconomic data sets. We apply the methodologies to study international comovements of business and financial cycles as well as asymmetries over the business cycle in the US.
Schlagwörter: 
factor models
canonical correlations
international business cycles
financial cycles
business cycle asymmetries
JEL: 
C38
C55
ISBN: 
978-3-95729-033-5
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
394.61 kB





Publikationen in EconStor sind urheberrechtlich geschützt.