Discovering pervasive and non-pervasive common cycles

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dc.contributor.author Carlomagno Real, Guillermo
dc.contributor.author Espasa, Antoni
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2017-10-03T13:00:18Z
dc.date.available 2017-10-03T13:00:18Z
dc.date.issued 2017-09-01
dc.identifier.issn 2387-0303
dc.identifier.uri http://hdl.handle.net/10016/25392
dc.description.abstract The objective of this paper is to propose a strategy to exploit short-run commonalities in the sectoral components of macroeconomic variables to obtain better models and more accurate forecasts of the aggregate and of the components. Our main contribution concerns cases in which the number of components is large, so that traditional multivariate approaches are not feasible. We show analytically and by Monte Carlo methods that subsets of components in which all the elements share a single common cycle can be discovered by pairwise methods. As the procedure does not rely on any kind of cross-sectional averaging strategy: it does not need to assume pervasiveness, it can deal with highly correlated idiosyncratic components and it does not need to assume that the size of the subsets goes to infinity. Nonetheless, the procedure works both with fixed N and T going to infinity, and with T and N both going to infinity.
dc.description.sponsorship The second author acknowledge financial support from the Spanish Ministry of Education and Science, research project ECO2012-32401
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 17-16
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Common features
dc.subject.other Factor Models
dc.subject.other Disaggregation
dc.subject.other Pairwise tests
dc.title Discovering pervasive and non-pervasive common cycles
dc.type workingPaper
dc.subject.jel C01
dc.subject.jel C22
dc.subject.jel C32
dc.subject.jel C53
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2012-32401
dc.type.version draft
dc.identifier.uxxi DT/0000001585
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