The general purpose of a dynamic factor model (DFM) is to summarize a large number of time series into a few common factors. Here we explore a number of DFM specifications applied to 80 granular, non-overlapping indexes of commercial property prices in the US, quarterly from 2001 to 2017. We...

It was demonstrated that jewelry and jewelry products price can be predicted at a several year horizon. The prediction consists of three steps. First, we show that the difference between producer price index and the index for jewelry and jewelry products is characterized by the presence of...