Estimation of the common component in Dynamic Factor Models

One of the most effective techniques that allows a low-dimensional representation of Big Datasets is the Dynamic Factor Model (DFM). We analyze the finite sample performance of the well-known Principal Component estimator for the common component under different scenarios. Simulation results show that for data samples with large number of observations and small time series dimension, the variance-covariance matrix specification with lags provides better estimations than the classic variance-covariance matrix. However, in high-dimension data samples the classic variance-covariance matrix performs better no matter the sample size. Second, we apply the Principal Component estimator to obtain estimates of the business cycles of the Euro Area and its country members. This application, together with a cluster analysis, studies the phenomenon known as the Two-Speed Europe with two groups of countries not geographically related.The first author acknowledge financial support from the Spanish Ministry of Education, Culture and Sport for the Training of University Teachers, and the second author from the Spanish Ministry of Education and Science, research project ECO2015-66593-P. Supported by the Spanish Ministerio de Educación, Cultura y Deporte under grant FPU15/03983

ROI-Based Analysis of Functional Imaging Data

In this technical report, we present fMRI analysis techniques that test functional hypotheses at the region of interest (ROI) level. An SPM-compatible Matlab toolbox has been developed which allows the creation of subject-specific ROI masks based on anatomical markers and the testing of functional hypotheses on the regional response using multivariate time-series analysis techniques. The combined application of subject-specific ROI definition and region-level functional analysis is shown to appropriately compensate for inter-subject anatomical variability, offering finer localization and increased sensitivity to task-related effects than standard techniques based on whole brain normalization and voxel or cluster-level functional analysis, while providing a more direct link between discrete brain region hypotheses and the statistical analyses used to test them.National Institute of Health (R29 DC02852, ROI DC02852