{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,9]],"date-time":"2026-05-09T07:34:25Z","timestamp":1778312065583,"version":"3.51.4"},"reference-count":22,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2012,6,20]],"date-time":"2012-06-20T00:00:00Z","timestamp":1340150400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2013,9]]},"abstract":"<jats:title>SUMMARY<\/jats:title><jats:p>We study the workings of the factor analysis of high\u2010dimensional data using artificial series generated from a large, multi\u2010sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allows us to shed some light on the practical benefits and limitations of using factor analysis techniques on economic data. We explain in what sense the artificial data can be thought of having a factor structure, study the theoretical properties of the principal components estimates of the factor space, investigate the substantive reason(s) for the good performance of diffusion index forecasts, and assess the quality of the factor analysis of highly disaggregated data. In all our exercises, we explain the precise relationship between the factors and the basic macroeconomic shocks postulated by the model. Copyright \u00a9 2012 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2287","type":"journal-article","created":{"date-parts":[[2012,6,20]],"date-time":"2012-06-20T04:41:14Z","timestamp":1340167274000},"page":"903-928","source":"Crossref","is-referenced-by-count":8,"title":["FACTOR ANALYSIS OF A LARGE DSGE MODEL"],"prefix":"10.1002","volume":"28","author":[{"given":"Alexei","family":"Onatski","sequence":"first","affiliation":[{"name":"Faculty of Economics University of Cambridge UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Francisco","family":"Ruge\u2010Murcia","sequence":"additional","affiliation":[{"name":"Department of Economics and CIREQ Universit\u00e9 de Montr\u00e9al Qu\u00e9bec Canada"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2012,6,20]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00696.x"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000413"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1162\/0033553053327452"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912186"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.1.350"},{"key":"e_1_2_11_7_1","doi-asserted-by":"crossref","unstructured":"BouakezH CardiaE Ruge\u2010MurciaFJ.2009.Sectoral price rigidity and aggregate dynamics. CIREQ Working Paper 01\u20102009.","DOI":"10.2139\/ssrn.1548020"},{"key":"e_1_2_11_8_1","volume-title":"Time Series: Data Analysis and Theory","author":"Brillinger DR","year":"1981"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912275"},{"key":"e_1_2_11_10_1","doi-asserted-by":"crossref","unstructured":"D'AgostinoA GiannoneD.2006.Comparing alternative predictors based on large\u2010panel factor models. European Central Bank Working Paper 680.","DOI":"10.2139\/ssrn.931648"},{"key":"e_1_2_11_11_1","article-title":"A quasi maximum likelihood approach for large approximate dynamic factor models","author":"Doz C","year":"2011","journal-title":"The Review of Economics and Statistics"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1086\/659311"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465300559037"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214504000002050"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660809052X"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.030"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214506000001275"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(99)00044-6"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1086\/261128"},{"key":"e_1_2_11_20_1","doi-asserted-by":"crossref","unstructured":"OnatskiA Ruge\u2010MurciaFJ.2010.Factor analysis of a large DSGE model. CIREQ Working Paper 17\u20102010.","DOI":"10.2139\/ssrn.1716891"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1086\/261603"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214502388618960"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351921"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2287","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2287","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,4,25]],"date-time":"2024-04-25T23:09:18Z","timestamp":1714086558000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2287"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,6,20]]},"references-count":22,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2013,9]]}},"alternative-id":["10.1002\/jae.2287"],"URL":"https:\/\/doi.org\/10.1002\/jae.2287","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,6,20]]}}}