Determining the Number of Primitive Shocks in Factor Models
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- 1 January 2007
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 25 (1) , 52-60
- https://doi.org/10.1198/073500106000000413
Abstract
A widely held but untested assumption underlying macroeconomic analysis is that the number of shocks driving economic fluctuations, q, is small. In this article we associate q with the number of dy...Keywords
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