全球智库信息集成服务系统(G2TT): DP12219 Is Industrial Production Still the Dominant Factor for the US Economy?

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP12219
	DP12219 Is Industrial Production Still the Dominant Factor for the US Economy?
	Elena Andreou; Patrick Gagliardini; Eric Ghysels
发表日期	2017-08-12
出版年	2017
语种	英语
摘要	We propose a new class of large approximate factor models which enable us to study the full spectrum of quarterly Industrial Production (IP) sector data combined with annual non-IP sectors of the economy. We derive the large sample properties of the estimators and test statistics for the new class of unobservable factor models involving mixed frequency data and common as well as frequency-specific factors. Despite the growth of service sectors, we find that a single common factor explaining 90% of the variability in IP output growth index also explains 60% of total GDP output growth fluctuations. A single low frequency factor unrelated to manufacturing explains 14% of GDP growth. The picture with a structural factor model featuring technological innovations is quite different. Last but not least, our identification and inference methodology rely on novel results on group factor models that are of general interest beyond the mixed frequency framework and the application of the paper.
主题	Financial Economics
关键词	Group factor models Midas Gdp growth
URL	https://cepr.org/publications/dp12219
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/541030
推荐引用方式 GB/T 7714	Elena Andreou,Patrick Gagliardini,Eric Ghysels. DP12219 Is Industrial Production Still the Dominant Factor for the US Economy?. 2017.