Городской экономический семинар ЕУСПб, ВШЭ СПб и ПОМИ продолжает работу онлайн. 5 ноября в 18.00 в формате Zoom-конференции Мария Артёмова (Mariia Artemova, Vrije Universiteit Amsterdam) представит работу «Многоуровневая факторная модель с факторами, управляемыми наблюдениями» («A Multilevel Factor Model with Observation-Driven Factors»).
Аннотация: 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.
Рабочий язык семинара — английский. Доступ по запросу на почту spb.economic.seminar@gmail.com (в письме укажите, пожалуйста, фамилию, имя и аффилиацию). Количество участников ограничено (100 человек), присоединяйтесь к семинару за 3–5 минут.