Dear RATS users,
Has anybody tried to replicate Kose, M.A., C. Otrok and C. H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239?
They estimate a dynamic latent factor model with different "regional layers" of factors using Bayesian techniques.
Best, jd