Factor Models in Large Cross-Sections of Time Series

Lucrezia Reichlin

No 3285, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This Paper reviews recent econometric work on factor models in large cross-sections of time series. In this literature, traditional factor analysis is adapted to develop parsimonious estimation methods for high dimension time series models. The review covers problems of consistency and rates ? as the dimension of the cross-section and the time dimension become large ? identification and forecasting. We also review empirical applications on measuring and interpreting business cycles.

Keywords: Factor analysis; Panel data; Business cycles (search for similar items in EconPapers)
JEL-codes: C22 C23 E32 E37 (search for similar items in EconPapers)
Date: 2002-03
New Economics Papers: this item is included in nep-ecm and nep-mac
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Citations: View citations in EconPapers (8)

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Working Paper: Factor models in large cross sections of time series (2003)
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