Dynamic factor models

Jörg Breitung () and Sandra Eickmeier

No 2005,38, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

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: Principal components; dynamic factors; forecasting (search for similar items in EconPapers)
JEL-codes: C13 C33 C51 (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Citations: View citations in EconPapers (91)

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Related works:
Chapter: Dynamic Factor Models (2006)
Journal Article: Dynamic factor models (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:4232

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