演講者簡介 : Senera Ng got her Ph.D. in Economics from Princeton University in 1993. She is currently serving as Professor of Economics at Columbia University. Her research interest is in macroeconomics, time series and econometrics.
演講摘要 : This paper uses multi-level 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 a MCMC algorithm that takes into account the hierarchical structure of the factors. We organize a panel of 447 series into blocks according to the timing of data releases and use a four level model to study the dynamics of real activity at both the block and aggregate levels. While the economic downturn of 2007-2009 is pervasive, growth cycles are only loosely synchronized across blocks. The state of the leading and the lagging sectors, as well as the overall economy are monitored in a coherent framework.
