Montag, 14. Mrz 2016, 16:45 - 18:15 iCal

ISOR Colloquium

"Is Industrial Production Still the Dominant Factor for the US Economy?"

Speaker: Eric Ghysels (Univ. North Carolina - Chapel Hill)

Sky Lounge OMP1, 12th Floor
Oskar-Morgenstern-Platz 1, 1090 Vienna


We propose a new class of approximate factor models which enable us to study the full spectrum of quarterly IP sector data combined with annual non-IP sectors of the economy. We derive the large sample properties of the estimators for the new class of factor models involving mixed frequency data. Despite the growth of service sectors, we find that a single common factor explaining 90% of the variability in IP output growth index also explains 60% of total GDP output growth fluctuations. A single low frequency factor unrelated to manufacturing explains 14% of GDP growth. The picture with a structural factor model featuring technological innovations is quite different. IP sectors technology shocks do not play a dominant role.

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Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651