dc.contributor.author | Andreou, Elena | en |
dc.contributor.author | Gagliardini, P. | en |
dc.contributor.author | Ghysels, E. | en |
dc.contributor.author | Rubin, M. | en |
dc.creator | Andreou, Elena | en |
dc.creator | Gagliardini, P. | en |
dc.creator | Ghysels, E. | en |
dc.creator | Rubin, M. | en |
dc.date.accessioned | 2021-01-25T09:10:07Z | |
dc.date.available | 2021-01-25T09:10:07Z | |
dc.date.issued | 2019 | |
dc.identifier.issn | 1468-0262 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/62953 | |
dc.description.abstract | We derive asymptotic properties of estimators and test statistics to determine—in a grouped data setting—common versus group-specific factors. Despite the fact that our test statistic for the number of common factors, under the null, involves a parameter at the boundary (related to unit canonical correlations), we derive a parameter-free asymptotic Gaussian distribution. We show how the group factor setting applies to mixed-frequency data. As an empirical illustration, we address the question whether Industrial Production (IP) is still the dominant factor driving the U.S. economy using a mixed-frequency data panel of IP and non-IP sectors. We find that a single common factor explains 89% of IP output growth and 61% of total GDP growth despite the diminishing role of manufacturing. | en |
dc.language.iso | en | en |
dc.source | Econometrica | en |
dc.source.uri | https://onlinelibrary.wiley.com/doi/abs/10.3982/ECTA14690 | |
dc.title | Inference in Group Factor Models With an Application to Mixed-Frequency Data | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.3982/ECTA14690 | |
dc.description.volume | 87 | |
dc.description.issue | 4 | |
dc.description.startingpage | 1267 | |
dc.description.endingpage | 1305 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Οικονομικών / Department of Economics | |
dc.type.uhtype | Article | en |