Chris Heaton

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In this paper we present a new approach to the specification of dynamic factor models. Our model has three advantages over existing work. Firstly, it is based on a minimal-dimension state-space representation giving some gain in computational efficiency over existing methods. Secondly, it easily accommodates hypothesis tests about the order of the(More)
This paper makes three contributions to the literature on dynamic factor analysis. Firstly, we investigate the identification problem for a general class of causal dynamic factor model and provide conditions under which the model is identified. Secondly, we present an analytical expression for the information matrix of an autoregressive factor model which(More)
We consider the contribution of sectoral shocks to post-war US unemployment movements in a dynamic factor framework. Whereas previously published estimates of the contribution of sectoral shocks to unemployment relate to a particular theory of unemployment, our approach is sufficiently general to encompass almost any theory. We estimate our model in the(More)
We introduce a generalization of the approximate factor model for which the observable variables belong to a nite number of groups. The error terms of variables that belong to di erent groups are assumed to be at most weakly correlated, but the correlation between the errors of variables that belong to the same group is not restricted. We propose an(More)
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