A Multilevel Factor Model with Observation-Driven Factors

Добавить в календарь 2020-11-05 18:00:00 2020-11-23 21:15:18 Многоуровневая факторная модель с факторами, управляемыми наблюдениями Description Факультет экономики info@eusp.org Europe/Moscow public
Department of Economics
Мария Артемова

The City Economic Seminar organized by EUSP, HSE, and POMI continues its work online. On November 5, at 18.00, Mariia Artemova from the Vrije Universiteit Amsterdam will be presenting a paper "A Multilevel Factor Model with Observation-Driven Factors".

Abstract: In this paper, we introduce a new parsimonious multilevel factor model with observation-driven time-varying parameters that specify the factors’ dynamics. The model incorporates several levels of factors. For example, in the two-level model there are common (first level) and group-specific (second level) factors, where the former is driven by all observations, while the latter is driven only by the observations corresponding to its group. We propose an estimation procedure that is fast and easy to apply in practice. Moreover, all forecasts and impulse response functions follow straightforwardly from our model. We apply the proposed model to study the interconnectedness of the U. S. industries and their importance in economic activity. We find that the Industrial Production (IP) industries are related more to the aggregate shocks than the non-Industrial Production (non-IP) ones. On the other hand, the non-IP industries are strongly connected to the other industries according to the impulse responses.

The seminar will be held via Zoom application. To receive access, please send a request to spb.economic.seminar@gmail.com (please indicate your full name and occupation/place of study). Also, indicate your full name when entering Zoom. The number of participants is limited (100 people), join the seminar in 5–10 minutes.