Thank you, Bob. I think the article you suggested is:
Koopman and Lucas (2008), "A Non-Gaussian Panel Time Series Model for
Estimating and Decomposing Default Risk"
I am reading it now and it looks useful! (and even if it's not, it seems like I should be aware of it!) Thank you very much.
Adrian
----------------------------------------
> From: [email protected]
> To: [email protected]
> Date: Sat, 1 Aug 2009 18:20:07 -0400
> Subject: Re: st: Factor models in panel data (was: Factor models)
>
> Adrian,
> I read an article in the Journal of Business and Economic Statistics a few months ago
> that suggests that State Space models can handle panel data.
> That might be of some help.
> You're quite welcome,
> Bob
>
>
> Robert A. Yaffee, Ph.D.
> Research Professor
> Silver School of Social Work
> New York University
>
> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>
> CV: http://homepages.nyu.edu/~ray1/vita.pdf
>
> ----- Original Message -----
> From: kokootchke
> Date: Friday, July 31, 2009 2:58 pm
> Subject: st: Factor models in panel data (was: Factor models)
> To: statalist
>
>
>> First of all, thanks to Bob for all the references on dynamic factor models.
>>
>> I think that some of these are useful for my purposes but not
>> entirely, mainly due to the panel structure of my data.
>>
>> As I mentioned earlier, I have data on domestic macroeconomic
>> variables for 40+ countries over time (e.g., GDP growth, dollar
>> reserves, inflation, etc.) AND data on global financial conditions
>> that are common to all countries in my data set at any given point in
>> time (e.g., the level of the U.S. interest rate, volatility in the
>> EMBI index, volatility of the VIX index, etc.).
>>
>> The problems I see with the implementation of a standard factor model
>> (as implemented by -factor- in Stata) are the following:
>>
>> 1. I think that, as it is, this command doesn't take into account the
>> panel structure of the database, does it? For instance, if my data has
>> 80 quarters per country and 40 countries and it's sorted by country
>> and time period, then the change between observation 79 and 80 for any
>> given domestic macroeconomic variable is going to be very different
>> than the change between observation 80 and 81, because the former two
>> correspond to periods 79 and 80 of country 1, while the latter two
>> correspond to period 80 of country 1 and period 1 of country 2.
>>
>> 2. While the domestic macroeconomic variables change by country and by
>> time period (e.g., each country has different inflation rates in 1995
>> Q2), global financial conditions are the same for all countries at a
>> given time period (e.g., the U.S. interest rate is the same for ALL
>> countries in my data base in 1995 Q2). So, can I still put these
>> common variables together in the same database where I have my
>> domestic variables before I do the factor analysis?
>>
>> 3. Some of my variables as I use them in my regression model are in
>> logs (e.g., log of the U.S. interest rate), or "scaled" appropriately
>> to compare them across countries (e.g., reserves/imports, external
>> debt/GDP, etc.)? Should I leave them like this in my factor analysis,
>> or should I just use the actual variables I'm interested in (e.g.,
>> U.S. interest rates in levels, reserves and external debt without
>> scaling by imports or GDP, respectively, etc.)?
>>
>> Thank you very much once again.
>>
>> Adrian
>>
>>
>> ----------------------------------------
>>> From: [email protected]
>>> To: [email protected]
>>> Date: Sat, 25 Jul 2009 02:49:33 -0400
>>> Subject: Re: st: Factor models
>>>
>>> Adrian,
>>> There is a substantial literature on dynamic factor models. Mario
>> Forni and Lucrezia Richlin have written on this in 1996 and 1998 . In
>> September 2003, Mario Forni, Marc Hallan, Marco Lippi, and
>>> Lucrezia Richline published "The Generalized Dynamic Factor Model: One-sided
>>> Estimation and Forecasting," as an LEM working paper (2003/13).
>> Marco Lippi and Daniel Thornton
>>> have written a working paper for the St. Louis Federal Reserve bank
>> (WP2004-013a) in
>>> 2004, entitled "A dynamic factor analysis of the response of U.S.
>> interest to News."
>>> Stock and Watson in 1989, 1991, and later have worked on this
>> subject. In 2005 they
>>> published, "Implications of Dynamic Factor models for VAR analysis,"
>> in which they have dealt with dynamic factors and model identification
>> with long and short run restrictions in VAR form. Tao Chen, Elaine
>> Martin, and Gary Montague have written an article in Computational
>> Statistics and Data Analysis (2009) v. 59 entitled, "Robust
>> probabalistic PCA with missing data and contribution for outlier
>> detection." Rangan Gupta and Alain Kabundi in 2008 (Journal of
>> Economic Literature) have written "A Dynamic Factor Analysis for
>> Forecasting Macroeconomic Variables in South Africa." Some
>>> time ago, Allessandro Federici and Andrea Mazzitelli in 2005 at an
>> Italian Stata User's Group presented "Dynamic Factor Analysis with
>> Stata," based on the Coppi and Zannella(1978) and later work.
>>> In 2004 Ben Bernanke has written on factor analysis with BVAR
>> models. Siem Jan Koopman has also incorporated PCA in his state space
>> models. James Hamilton, in his 1994 classic, Time Series Analysis, has
>> shown how state space models lend themselves to dynamic factor analysis.
>>> And these are small sample of the articles that have emerged on this
>> subject. Andrew Harvey in 1989 in "Forecasting, Structural time series
>> models, and the Kalman Filter" has also shown on these factors are the
>> unobserved signal components extracted from the data generating process.
>>> These are some of the articles on the subject.
>>> Regards,
>>> Bob Yaffee
>>>
>>>
>>> Robert A. Yaffee, Ph.D.
>>> Research Professor
>>> Silver School of Social Work
>>> New York University
>>>
>>> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>>>
>>> CV: http://homepages.nyu.edu/~ray1/vita.pdf
>>>
>>> ----- Original Message -----
>>> From: kokootchke
>>> Date: Friday, July 24, 2009 7:49 pm
>>> Subject: st: Factor models
>>> To: statalist
>>>
>>>
>>>> Hi everyone.
>>>>
>>>> I would like to know if anyone could provide some references to
>>>> factor models (latent factor models, dynamic factor models, etc.).
>>>>
>>>> I am studying the effects of domestic macroeconomic variables vs.
>>>> global economic conditions on bond spreads and I believe that I could
>>>> use factor models to improve my analyses.
>>>>
>>>> I have never used these models before and have found some papers by
>>>> Stock and Watson, Lippi et al., etc... which are useful... but I would
>>>> like to read something a bit easier to get my feet wet, and then start
>>>> building up from there.
>>>>
>>>> Thank you very much!
>>>>
>>>> Best regards,
>>>> Adrian
>>>>
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