Sectoral Uncertainty: A Hierarchical-Volatility Approach
部门不确定性：分层波动率方法
We propose a new empirical framework to estimate sectoral uncertainty from data-rich environments. We jointly decompose the conditional variance of economic time series into a common, a sector-specific, and an idiosyncratic component. By specifying a hierarchical-factor structure to stochastic volatility modeling, our framework combines both dimension reduction and flexibility. To estimate the model, we develop an efficient Markov chain Monte Carlo algorithm based on…