Author: Jean-Marie DufourPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Factor Models and VARMA Processes
Author: Jean-Marie DufourFactor Models, VARMA Processes and Parameter Instability with Applications in Macroeconomics
Author: Dalibor StevanovicPublisher:
ISBN: 9780494813737
Category :
Languages : en
Pages :
Book Description
Factor-Augmented VARMA Models with Macroeconomic Applications
Author: Jean-Marie DufourPublisher:
ISBN:
Category :
Languages : en
Pages : 47
Book Description
We study the relationship between VARMA and factor representations of a vector stochastic process. We observe that, in general, vector time series and factors cannot both follow finite-order VAR models. Instead, a VAR factor dynamics induces a VARMA process, while a VAR process entails VARMA factors. We propose to combine factor and VARMA modeling by using factor-augmented VARMA (FAVARMA) models. This approach is applied to forecasting key macroeconomic aggregates using large U.S. and Canadian monthly panels. The results show that FAVARMA models yield substantial improvements over standard factor models, including precise representations of the effect and transmission of monetary policy.
An Empirical Study of VARMA Models in Echelon Form and Factor Models Estimated by the Principal Components Method
Author: Dynamic Process Methodology in the Social and Developmental Sciences
Author: Jaan ValsinerPublisher: Springer Science & Business Media
ISBN: 038795922X
Category : Psychology
Languages : en
Pages : 688
Book Description
All psychological processes—like biological and social ones—are dynamic. Phenomena of nature, society, and the human psyche are context bound, constantly changing, and variable. This feature of reality is often not recognized in the social sciences where we operate with averaged data and with homogeneous stereotypes, and consider our consistency to be the cornerstone of rational being. Yet we are all inconsistent in our actions within a day, or from, one day to the next, and much of such inconsistency is of positive value for our survival and development. Our inconsistent behaviors and thoughts may appear chaotic, yet there is generality within this highly variable dynamic. The task of scientific methodologies—qualitative and quantitative—is to find out what that generality is. It is the aim of this handbook to bring into one framework various directions of construction of methodology of the dynamic processes that exist in the social sciences at the beginning of the 21st century. This handbook is set up to bring together pertinent methodological scholarship from all over the world, and equally from the quantitative and qualitative orientations to methodology. In addition to consolidating the pertinent knowledge base for the purposes of its further growth, this book serves the major educational role of bringing practitioners—students, researchers, and professionals interested in applications—the state of the art know-how about how to think about extracting evidence from single cases, and about the formal mathematical-statistical tools to use for these purposes.
Factor Analysis at 100
Author: Robert CudeckPublisher: Routledge
ISBN: 113559404X
Category : Business & Economics
Languages : en
Pages : 401
Book Description
Factor analysis is one of the success stories of statistics in the social sciences. The reason for its wide appeal is that it provides a way to investigate latent variables, the fundamental traits and concepts in the study of individual differences. Because of its importance, a conference was held to mark the centennial of the publication of Charles Spearman's seminal 1904 article which introduced the major elements of this invaluable statistical tool. This book evolved from that conference. It provides a retrospective look at major issues and developments as well as a prospective view of future directions in factor analysis and related methods. In so doing, it demonstrates how and why factor analysis is considered to be one of the methodological pillars of behavioral research. Featuring an outstanding collection of contributors, this volume offers unique insights on factor analysis and its related methods. Several chapters have a clear historical perspective, while others present new ideas along with historical summaries. In addition, the book reviews some of the extensions of factor analysis to such techniques as latent growth curve models, models for categorical data, and structural equation models. Factor Analysis at 100 will appeal to graduate students and researchers in the behavioral, social, health, and biological sciences who use this technique in their research. A basic knowledge of factor analysis is required and a working knowledge of linear algebra is helpful.
Time Series
Author: Raquel PradoPublisher: CRC Press
ISBN: 1498747043
Category : Mathematics
Languages : en
Pages : 473
Book Description
• Expanded on aspects of core model theory and methodology. • Multiple new examples and exercises. • Detailed development of dynamic factor models. • Updated discussion and connections with recent and current research frontiers.
Intensive Longitudinal Analysis of Human Processes
Author: Kathleen M. GatesPublisher: CRC Press
ISBN: 1482230607
Category : Mathematics
Languages : en
Pages : 260
Book Description
This book focuses on a span of statistical topics relevant to researchers who seek to conduct person-specific analysis of human data. Our purpose is to provide one consolidated resource that includes techniques from disciplines such as engineering, physics, statistics, and quantitative psychology and outlines their application to data often seen in human research. The book balances mathematical concepts with information needed for using these statistical approaches in applied settings, such as interpretative caveats and issues to consider when selecting an approach. The statistical topics covered here include foundational material as well as state-of-the-art methods. These analytic approaches can be applied to a range of data types such as psychophysiological, self-report, and passively collected measures such as those obtained from smartphones. We provide examples using varied data sources including functional MRI (fMRI), daily diary, and ecological momentary assessment data. Features: Description of time series, measurement, model building, and network methods for person-specific analysis Discussion of the statistical methods in the context of human research Empirical and simulated data examples used throughout the book R code for analyses and recorded lectures for each chapter available via a link available at www.routledge.com/9781482230598 Across various disciplines of human study, researchers are increasingly seeking to conduct person-specific analysis. This book provides comprehensive information, so no prior knowledge of these methods is required. We aim to reach active researchers who already have some understanding of basic statistical testing. Our book provides a comprehensive resource for those who are just beginning to learn about person-specific analysis as well as those who already conduct such analysis but seek to further deepen their knowledge and learn new tools.
Factor Analysis and Related Methods
Author: Roderick P. McDonaldPublisher: Psychology Press
ISBN: 1317768760
Category : Psychology
Languages : en
Pages : 280
Book Description
Factor Analysis is a genetic term for a somewhat vaguely delimited set of techniques for data processing, mainly applicable to the social and biological sciences. These techniques have been developed for the analysis of mutual relationships among a number of measurements made on a number of measurable entities. In the broad sense, factor analysis comprises a number of statistical models which yield testable hypotheses -- hypotheses that may confirm or disconfirm in terms of the usual statistical procedures for making tests of significance. It also comprises a number of simplifying procedures for the approximate description of data, which do not in any sense constitute disconfirmable hypotheses, except in the loose sense that they supply approximations to the data. In literature, the two types of analysis have often been confused. This book clarifies the concepts of factor analysis for students or professionals in the social sciences who wish to know the technique, rather than the mathematics, of factor theory. Mathematical concepts are described to have an intuitive meaning for the non-mathematical reader. An account of the elements of matrix algebra, in the appendix, and the (mathematical) notes following each chapter will help the reader who wishes to receive a more advanced treatment of the subject. Factor Analysis and Related Methods should prove a useful text for graduate and advanced undergraduate students in economics, the behavioral sciences, and education. Researchers and practitioners in those fields will also find this book a handy reference.
Dynamic Factor Models
Author: Jörg BreitungPublisher:
ISBN: 9783865580979
Category :
Languages : en
Pages : 29
Book Description