Dynamic Factor Models

Catherine Doz () and Peter Fuleky
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Catherine Doz: Paris School of Economics and University Paris

No 2019-4, Working Papers from University of Hawaii Economic Research Organization, University of Hawaii at Manoa

Abstract: Dynamic factor models are parsimonious representations of relationships among time series variables. With the surge in data availability, they have proven to be indispensable in macroeconomic forecasting. This chapter surveys the evolution of these models from their pre-big-data origins to the large-scale models of recent years. We review the associated estimation theory, forecasting approaches, and several extensions of the basic framework.

Keywords: dynamic factor models; big data; two-step estimation; time domain; frequency domain; structural breaks (search for similar items in EconPapers)
JEL-codes: C32 C38 C53 C55 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2019-07
New Economics Papers: this item is included in nep-big, nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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https://uhero.hawaii.edu/wp-content/uploads/2019/07/UHEROwp1904.pdf First version, 2019 (application/pdf)

Related works:
Working Paper: Dynamic Factor Models (2020)
Working Paper: Dynamic Factor Models (2020)
Working Paper: Dynamic Factor Models (2019)
Working Paper: Dynamic Factor Models (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hae:wpaper:2019-4

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