This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses in empirical macroeconomics. It also surveys recent developments in methods for identifying and estimating SVARs, an area that has seen important developments over the past 15...

This dissertation consists of three essays that have a common focus on the econometrics of survey expectations data. Such data play a crucial role in economics. First, as most decisions depend on expectations, these data facilitate a better understanding of economic dynamics. Second, survey data...

This article extends the Factor-Augmented Vector Autoregression Model (FAVAR) to mixed-frequency and incomplete panel data. Within the scope of a fully parametric two-step approach, the alternating application of two expectation-maximization algorithms jointly estimates model parameters and...