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A dynamic index model for large cross sections

Quah, Danny and Sargent, Thomas J (1993) A dynamic index model for large cross sections. CEP discussion paper, 132. Centre for Economic Performance, London School of Economics and Political Science, London, UK.

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Identification Number: 132

Abstract

This paper shows how standard methods can be used to formulate and estimate a dynamic index model for random fields - stochastic processes indexed by time and cross section where the time-series and cross section dimensions are comparable in magnitude. We use these study dynamic co-movements of sectoral employment in the US economy. The dynamics of employment in sixty sectors is well explained using only two unobservable factors; those factors are also strongly correlated with GNP growth.

Item Type: Monograph (Discussion Paper)
Official URL: http://cep.lse.ac.uk
Additional Information: © 1993 The Authors
Subjects: H Social Sciences > HB Economic Theory
Sets: Collections > Economists Online
Research centres and groups > Centre for Economic Performance (CEP)
Departments > Economics
Series: Working Papers > CEP Discussion Papers
Date Deposited: 27 Apr 2007
Last Modified: 03 Mar 2013 10:23
URI: http://eprints.lse.ac.uk/id/eprint/2044

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