Dynamic Factor Models

Jörg Breitung () and Sandra Eickmeier ()
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Sandra Eickmeier: Deutsche Bundesbank

Chapter 3 in Modern Econometric Analysis, 2006, pp 25-40 from Springer

Abstract: Abstract 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: Monetary Policy; Factor Model; Euro Area; European Monetary Union; Idiosyncratic Component (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/3-540-32693-6_3

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