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.Full text not available from this repository.
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)|
|Additional Information:||© 1993 The Authors|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Sets:||Collections > Economists Online
Research centres and groups > Centre for Economic Performance (CEP)
Departments > Economics
|Date Deposited:||27 Apr 2007|
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