Dynamic Hierarchical Factor Models

Emanuel Moench · Serena Ng · Simon Potter

141 citations0/0 files storedThe Review of Economics and Statistics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Spatial and Panel Data Analysis Statistical Methods and Applications Financial Risk and Volatility Modeling

Abstract

Abstract This paper uses multilevel 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 an MCMC algorithm that takes into account the hierarchical structure of the factors. The importance of block-level variations is illustrated in a four-level model estimated on a panel of 445 series related to different categories of real activity in the United States.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 141 citations exist upstream.

References

2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 1989New Indexes of Coincident and Leading Economic Indicators 2003International Business Cycles: World, Region, and Country-Specific Factors 2008Nowcasting: The real-time informational content of macroeconomic data 2010International Economic Review 2005The Generalized Dynamic Factor Model 2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions

Cited by

2015Panel Data Models with Grouped Factor Structure Under Unknown Group Membership 2010Dynamic factors in the presence of blocks 2011A hierarchical factor analysis of U.S. housing market dynamics 2022Uncertainty before and during COVID‐19: A survey 2016The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences 2021Factor models with local factors — Determining the number of relevant factors

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.