Dynamic Hierarchical Factor Models

By Emanuel Moench, Serena Ng, S. Potter. Review of Economics and Statistics, 2013

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Analyzing International Business and Financial Cycles using Multi-Level Factor Models: A Comparison of Alternative Approaches (2016, background): “Furthermore, the levels may be specified as a hierarchical structure (e.g. Moench et al. (2013)), that is, the second level of factors (e.g. regions) is divided into a third level of factors (e.g. countries) such that each third level group is uniquely assigned to one second level group.”
Identification and Estimation of Dynamic Factor Models (2012, unknown): “The dynamic factor model with a multi-level factor structure has been increasingly applied to study the comovement of economic quantities at different levels (See Gregory and Head (1999), Kose et al. (2003), Crucini et al. (2011), and Moench et al. (2011), etc.).”
Identification and Bayesian Estimation of Dynamic Factor Models (2015, methodology): “The dynamic factor model with a multilevel factor structure has been increasingly applied to study the comovement of economic quantities at different levels (see Gregory and Head 1999; Kose, Otrok, and Whiteman 2003; Crucini, Kose, and Otrok 2011; Moench, Ng, and Potter 2013).”
Panel Data Models with Grouped Factor Structure Under Unknown Group Membership (2013, unknown): “Previous studies exist for grouped factor structures, where the group memberships are known, for example, Moench et al. (2012), Diebold et al. (2008), Kose et al. (2008), Wang (2010), and Moench and Ng (2011).”