Measuring World Business Cycles
使用卡尔曼滤波和动态因子分析，将G7国家的总产出、消费和投资分解为全球共同因子、国家共同因子和个体特定因子，发现全球和国家因子在各国商业周期中均显著且重要。
Using Kalman filtering and dynamic factor analysis, the authors decompose aggregate output, consumption, and investment for the G7 countries into factors that are (1) common across all countries and aggregates, (2) common across aggregates within a country, and (3) specific to each individual aggregate. In quarterly data for the period 1970 through 1993, fluctuations in all aggregates contain world and country-specific common components that are both statistically significant and quantitatively important. The authors find that the world and country-specific common components play different roles in different business cycle episodes for each of the seven countries and that either may be dominant during a particular episode. Copyright 1997 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.