We produce predictions of the current state of the Indonesian economy by estimating a Dynamic Factor Model on a dataset of 11 indicators (also followed closely by market operators) over the time period 2002 to 2014. Besides the standard difficulties associated with constructing timely indicators...

In this paper we investigate whether accounting for non-pervasive shocks improves the forecast of a factor model. We compare four models on a large panel of US quarterly data: factor models, factor models estimated on selected variables, Bayesian shrinkage, and factor models together with...

We produce predictions of Norwegian GDP. To this end, we estimate a Bayesian Dynamic Factor model on a panel of 14 variables (all followed closely by market operators) ranging from 1990 to 2011. By means of a pseudo real-time exercise we show that the Bayesian Dynamic Factor Model performs well...

We introduce an approximate dynamic factor model for modeling and forecasting large panels of realized volatilities. Since the model is estimated by means of principal components and low dimensional maximum likelihood, it does not suffer from the curse of dimensionality. We apply the model to a...

We study a Large-Dimensional Non-Stationary Dynamic Factor Model where (1) the factors Ft are I (1) and singular, that is Ft has dimension r and is driven by q dynamic shocks with q less than r, (2) the idiosyncratic components are either I (0) or I (1). Under these assumption the factors Ft are...

The paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors F_t are I(1) and singular, i.e. F_t has dimension r and is driven by a q-dimensional white noise, the common shocks, with q r, and (2) the idiosyncratic components are I(1). We show that F_t is driven by r − c...

In this paper I review the literature on Large-Dimensional Dynamic Factor Models for real-time applications. I first present the Dynamic Factor model, the implications of using large-dimensional databases, and the challenges of real-time applications. Then, I discuss how the literature has...

The paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors Ft are I(1) and singular, i.e. Ft has dimension r and is driven by a q-dimensional white noise, the common shocks, with q r, and (2) the idiosyncratic components are I(1). We show that Ft is driven by r-c...