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From |
kokootchke <kokootchke@hotmail.com> |

To |
statalist <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Factor models in panel data (was: Factor models) |

Date |
Mon, 3 Aug 2009 10:20:48 -0400 |

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: bob.yaffee@nyu.edu > To: statalist@hsphsun2.harvard.edu > 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: bob.yaffee@nyu.edu >>> To: statalist@hsphsun2.harvard.edu >>> 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 >>>> >>>> _________________________________________________________________ >>>> NEW mobile Hotmail. Optimized for YOUR phone. Click here. >>>> http://windowslive.com/Mobile?ocid=TXT_TAGLM_WL_CS_MB_new_hotmail_072009 >>>> * >>>> * For searches and help try: >>>> * http://www.stata.com/help.cgi?search >>>> * http://www.stata.com/support/statalist/faq >>>> * http://www.ats.ucla.edu/stat/stata/ >>>> >>> * >>> * For searches and help try: >>> * http://www.stata.com/help.cgi?search >>> * http://www.stata.com/support/statalist/faq >>> * http://www.ats.ucla.edu/stat/stata/ >> >> _________________________________________________________________ >> Windows Live™ SkyDrive™: Store, access, and share your photos. See how. >> http://windowslive.com/Online/SkyDrive?ocid=TXT_TAGLM_WL_CS_SD_photos_072009 >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ _________________________________________________________________ Express your personality in color! Preview and select themes for Hotmail®. http://www.windowslive-hotmail.com/LearnMore/personalize.aspx?ocid=PID23391::T:WLMTAGL:ON:WL:en-US:WM_HYGN_express:082009 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: Factor models in panel data (was: Factor models)***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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