Testing for international business cycles: a multilevel factor model with stochastic factor selection

DOI10.1016/j.jedc.2021.104134zbMath1475.91192OpenAlexW3159940783MaRDI QIDQ2246611

Gerdie Everaert, Lorenzo Pozzi, Tino Berger

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104134

zbMATH Keywords

model selectionBayesianglobal business cyclemultilevel dynamic factor modelregional cycle

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Economic growth models (91B62)

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Cites Work

• Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Principal components estimation and identification of static factors
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• On Gibbs sampling for state space models
• GLOBAL BUSINESS CYCLES: CONVERGENCE OR DECOUPLING?*
• Determining the Number of Factors in the General Dynamic Factor Model

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