Massimiliano Marcellino, Andrea Renzetti, Tommaso Tornese
arXiv 8 Nov 2024 · Econometrics
arXiv:2411.05695 · PDF · DOI · OpenAlex · Extracted main text
We develop a Functional Augmented Vector Autoregression (FunVAR) model to explicitly incorporate firm-level heterogeneity observed in more than one dimension and study its interaction with aggregate macroeconomic fluctuations. Our methodology employs dimensionality reduction techniques for tensor data objects to approximate the joint distribution of firm-level characteristics. More broadly, our framework can be used for assessing predictions from structural models that account for micro-level heterogeneity observed on multiple dimensions. Leveraging firm-level data from the Compustat database, we use the FunVAR model to analyze the propagation of total factor productivity (TFP) shocks, examining their impact on both macroeconomic aggregates and the cross-sectional distribution of capital and labor across firms.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Winberry, Thomas (2018) A method for solving and estimating heterogeneous agent macro models | 0.874 | 6 | 2 | 100% |
| 2 | Chang, Minsu, Chen, Xiaohong, Schorfheide, Frank (2021) Heterogeneity and aggregate fluctuations | 0.737 | 3 | 2 | 100% |
| 3 | Fernald, John (2014) A quarterly, utilization-adjusted series on total factor productivity | 0.585 | 3 | 1 | 100% |
| 4 | Ottonello, Pablo, Winberry, Thomas (2020) Financial Heterogeneity and the Investment Channel of Monetary Policy | 0.511 | 2 | 2 | 50% |
| 5 | Carroll, J. D., Chang, J.-J (1970) Analysis of individual differences in multidimensional scaling via an N-way generalization of "Eckart-Young" decomposition | 0.511 | 2 | 1 | 100% |
| 6 | Harshman, Richard A (1970) Foundations of the PARAFAC procedure: Models and conditions for an "explanatory" multi-modal factor analysis | 0.511 | 2 | 1 | 100% |
| 7 | Hung, Hung, Wu, Peishein, Tu, Iping, Huang, Suyan (2012) On multilinear principal component analysis of order-two tensors | 0.511 | 2 | 1 | 100% |
| 8 | Carriero, A., Kapetanios, G., Marcellino, M (2009) Forecasting exchange rates with a large Bayesian VAR self | 0.405 | 1 | 1 | 100% |
| 9 | Chan, Joshua C.C., Poon, Aubrey, Zhu, Dan (2023) High-dimensional conditionally Gaussian state space models with missing data | 0.405 | 1 | 1 | 100% |
| 10 | Doz, Catherine, Giannone, Domenico, Reichlin, Lucrezia (2011) A two-step estimator for large approximate dynamic factor models based on Kalman filtering | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 36 scored citations.