An endogenously clustered factor approach to international business cycles
国际经济周期的内生聚类因子方法
Summary Factor models have become useful tools for studying international business cycles. Block factor models can be especially useful as the zero restrictions on the loadings of some factors may provide some economic interpretation of the factors. These models, however, require the econometrician to predefine the blocks, leading to potential misspecification. In Monte Carlo experiments, we show that even a small misspecification can lead to substantial declines in fit. We…