Dynamic factor models

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.

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Year of publication:	2005
Authors:	Breitung, Jörg ; Eickmeier, Sandra
Publisher:	Frankfurt a. M. : Deutsche Bundesbank
Subject:	Dynamisches Modell \| Faktorenanalyse \| Zeitreihenanalyse \| Prognoseverfahren \| Theorie \| Schätzung \| EU-Staaten \| Principal components \| dynamic factors \| forecasting

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Series:	Discussion Paper Series 1 ; 2005,38
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	504775022 [GVK] hdl:10419/19623 [Handle] RePEc:zbw:bubdp1:4232 [RePEc]
Classification:	C13 - Estimation ; C33 - Models with Panel Data ; C51 - Model Construction and Estimation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010295783