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A Random Matrix Approach to Dynamic Factors in macroeconomic data

Malgorzata Snarska

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Abstract: We show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N / T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV).Application of these methods for macroeconomic indicators for Poland economy is also presented.

Date: 2012-01
New Economics Papers: this item is included in nep-bec, nep-cse, nep-ecm, nep-hrm and nep-mac
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Published in ACTA PHYSICA POLONICA A Vol. 121 B (2012) 110-120

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