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Estimating non-stationary common factors : implications for risk sharing

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorCorona Villavicencio, Francisco de Jesús
dc.contributor.authorPoncela Blanco, Maria Pilar
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.date.accessioned2023-07-06T07:49:47Z
dc.date.available2023-07-06T07:49:47Z
dc.date.issued2020-01-01
dc.description.abstractIn this paper, we analyze and compare the finite sample properties of alternative factor extraction procedures in the context of non-stationary Dynamic Factor Models (DFMs). On top of considering procedures already available in the literature, we extend the hybrid method based on the combination of principal components and Kalman filter and smoothing algorithms to non-stationary models. We show that if the idiosyncratic noises are stationary, procedures based on extracting the factors using the non-stationary original series work better than those based on differenced variables. We apply the methodology to the analysis of cross-border risk sharing by fitting non-stationary DFM to aggregate Gross Domestic Product and consumption of a set of 21 industrialized countries from the Organization for Economic Co-operation and Development (OECD). The goal is to check if international risk sharing is a short- or long-run issue.en
dc.description.sponsorshipFinancial support from the Spanish Government Projects ECO2015-70331-C2-1-R and ECO2015-70331-C2-2-R (MINECO/FEDER) is gratefully acknowledged. This paper was started while Pilar Poncela was still at Universidad Autónoma de Madrid. We are very grateful for the detailed comments of an anonymous referee which have been very useful to improve the presentation of this paper. The views expressed in this paper are those of the authors and should not be attributed neither to the European Commission nor to INEGI.en
dc.format.extent24es
dc.identifier.bibliographicCitationCorona, F., Poncela, P., & Ruiz, E. (2020). Estimating Non-stationary Common Factors: Implications for Risk Sharing. Computational Economics, 55(1), 37-60.en
dc.identifier.doihttps://doi.org/10.1007/s10614-018-9875-9
dc.identifier.issn0927-7099
dc.identifier.publicationfirstpage37es
dc.identifier.publicationissue1es
dc.identifier.publicationlastpage60es
dc.identifier.publicationtitleComputational Economicsen
dc.identifier.publicationvolume55es
dc.identifier.urihttps://hdl.handle.net/10016/37760
dc.identifier.uxxiAR/0000025495
dc.language.isoengen
dc.publisherSpringer Natureen
dc.relation.projectIDGobierno de España. ECO2015-70331-C2-2-Res
dc.rights© The Author(s) 2018en
dc.rightsAtribución 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/es/*
dc.subject.ecienciaEconomíaes
dc.subject.ecienciaEstadísticaes
dc.subject.otherConsumption smoothingen
dc.subject.otherKalman filteren
dc.subject.otherNon-stationary dynamic factor modelsen
dc.subject.otherPrincipal componentsen
dc.subject.otherRisk sharingen
dc.titleEstimating non-stationary common factors : implications for risk sharingen
dc.typeresearch article*
dc.type.hasVersionVoR*
dspace.entity.typePublication
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