dynamic factor models

This paper studies the international business cycle behaviour across 25 advanced and emerging market economies for which 125 years of annual
GDP data are available. The picture that emerges is more fragmented than the one drawn by studies that focused on a narrower set of advanced market

Using structural models to estimate and forecast quarterly GDP conditional on a large
number of economic indicators raises parsimony problems, such as the need to define many
identification restrictions and also to deal with very sparse asymptotic distributions of the
coefficients. Factor models have the role to fill this gap in macroeconomic modelling. The