Arbeitspapier
Analyzing business and financial cycles using multi-level factor models
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.
- ISBN
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978-3-95729-033-5
- Language
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Englisch
- Bibliographic citation
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Series: Bundesbank Discussion Paper ; No. 11/2014
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Large Data Sets: Modeling and Analysis
- Subject
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factor models
canonical correlations
international business cycles
financial cycles
business cycle asymmetries
- Event
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Geistige Schöpfung
- (who)
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Breitung, Jörg
Eickmeier, Sandra
- Event
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Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
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2014
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Breitung, Jörg
- Eickmeier, Sandra
- Deutsche Bundesbank
Time of origin
- 2014
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