Dynamic Factor Models
Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an empirical application we demonstrate that these models turn out to be useful in investigating macroeconomic problems.
Keywords: Principal components, dynamic factors, forecasting
Introduction 1
2 The strict factor model 2
3 Approximate factor models 4
4 Specifying the number of factors 5
5 Dynamic factor models 6
6 Overview of existing applications 8
7 An empirical example 10
8 Conclusion 13
Bibliography
[此贴子已经被作者于2008-7-13 7:21:27编辑过]
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