Download or read book Comovements and Heterogeneity in the Comovements and Heterogeneity in the Dynamic Factor Model written by Sandra Eickmeier and published by . This book was released on 2016 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro-area macroeconomic variables observed between 1982 and 2003. This framework allows us to estimate stationary and non-stationary common factors and idiosyncratic components, to identify the structural shocks behind the.