Author: Pieter Wieger OtterPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
On Information in Static and Dynamic Factor Models
Author: Pieter Wieger OtterThe Oxford Handbook of Economic Forecasting
Author: Michael P. ClementsPublisher: OUP USA
ISBN: 0195398645
Category : Business & Economics
Languages : en
Pages : 732
Book Description
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Dynamic Factor Models
Author: Jörg BreitungPublisher:
ISBN: 9783865580979
Category :
Languages : en
Pages : 29
Book Description
Identification of Static and Dynamic Factor Models
Author: Marcelle ChauvetPublisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 33
Book Description
Large Dimensional Factor Analysis
Author: Jushan BaiPublisher: Now Publishers Inc
ISBN: 1601981449
Category : Business & Economics
Languages : en
Pages : 90
Book Description
Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
Model Identification in Bayesian Analysis of Static and Dynamic Factor Models
Author: Markus PapeDynamic Factor Models
Author: Siem Jan KoopmanPublisher: Emerald Group Publishing
ISBN: 1785603523
Category : Business & Economics
Languages : en
Pages : 685
Book Description
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
A Forecasting Performance Comparison of Dynamic Factor Models Based on Static and Dynamic Methods
Author: Fabio Della MarraPublisher:
ISBN:
Category :
Languages : en
Pages : 21
Book Description
We present a comparison of the forecasting performances of three Dynamic Factor Models on a large monthly data panel of macroeconomic and financial time series for the UE economy. The first model relies on static principal-component and was introduced by Stock and Watson. The second is based on generalized principal components and it was introduced by Forni, Hallin, Lippi and Reichlin. The last model has been recently proposed by Forni, Hallin, Lippi and Zaffaroni. The data panel is split into two parts: the calibration sample, from February 1986 to December 2000, is used to select the most performing specification for each class of models in a in-sample environment, and the proper sample, from January 2001 to November 2015, is used to compare the performances of the selected models in an out-of-sample environment. The metholodogical approach is analogous to, but also the size of the rolling window is empirically estimated in the calibration process to achieve more robustness. We find that, on the proper sample, the last model is the most performing for the Inflation. However, mixed evidencies appear over the proper sample for the Industrial Production.
Modern Econometric Analysis
Author: Olaf HüblerPublisher: Springer Science & Business Media
ISBN: 3540326936
Category : Business & Economics
Languages : en
Pages : 236
Book Description
In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Data-Rich DSGE and Dynamic Factor Models
Author: Mr.Maxym KryshkoPublisher: International Monetary Fund
ISBN: 1463903499
Category : Business & Economics
Languages : en
Pages : 51
Book Description
Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as preference and/or technology shocks. Boivin and Giannoni(2006) combine a DSGE and a factor model into a data-rich DSGE model, in which DSGE states are factors and factor dynamics are subject to DSGE model implied restrictions. We compare a data-richDSGE model with a standard New Keynesian core to an empirical dynamic factor model by estimating both on a rich panel of U.S. macroeconomic and financial data compiled by Stock and Watson (2008).We find that the spaces spanned by the empirical factors and by the data-rich DSGE model states are very close. This proximity allows us to propagate monetary policy and technology innovations in an otherwise non-structural dynamic factor model to obtain predictions for many more series than just a handful of traditional macro variables, including measures of real activity, price indices, labor market indicators, interest rate spreads, money and credit stocks, and exchange rates.