Dynamic Factor Models
Catherine Doz () and
Peter Fuleky ()
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Catherine Doz: Paris School of Economics and University Paris
Peter Fuleky: Department of Economics, University of Hawaii at Manoa, UHERO
No 2019-4, Working Papers from University of Hawaii Economic Research Organization, University of Hawaii at Manoa
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)
New Economics Papers: this item is included in nep-big, nep-ecm, nep-ets and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:hae:wpaper:2019-4
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