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Dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - 2005
macroeconomic policy analysis and forecasting. By means of an empirical application we demonstrate that these models turn out to be …
Persistent link: https://www.econbiz.de/10010295783
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Dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - In: AStA Advances in Statistical Analysis 90 (2006) 1, pp. 27-42
Persistent link: https://www.econbiz.de/10005155552
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Common factors in nonstationary panel data with a deterministic trend - estimation and distribution theory
Maciejowska, Katarzyna - Department of Economics, European University Institute - 2010
The paper studies large-dimention factor models with nonstationary factors and allows for deterministic trends and factors integrated of order higher then one.We follow the model speci.cation of Bai (2004) and derive the convergence rates and the limiting distributions of estimated factors,...
Persistent link: https://www.econbiz.de/10008568536
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The generalized dynamic factor model: One-sided estimation and forecasting
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - 2003
This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …
Persistent link: https://www.econbiz.de/10010328558
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The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002
This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …
Persistent link: https://www.econbiz.de/10005661541
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Likelihood-based Analysis for Dynamic Factor Models
Jungbacker, Borus; Koopman, Siem Jan - 2008
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10010325750
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Forecasting Turkish Industrial Production Growth With Static Factor Models
Günay, Mahmut - In: International Econometric Review (IER) 7 (2015) 2, pp. 64-78
aggregation for the series in the data set. We consider two evaluation samples for the out-of-sample forecasting exercise to … assess the stability of the forecasting performance. We find that the effect of the data set size on the forecasting … forecasting process. …
Persistent link: https://www.econbiz.de/10012610958
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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10011373811
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Likelihood-based Analysis for Dynamic Factor Models
Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Institute - 2008
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10005137376
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An Empirical Study of Asian Stock Volatility Using Stochastic Volatility Factor Model: Factor Analysis and Forecasting
Lui, Silvia S.W. - School of Economics and Finance, Queen Mary - 2006
, their local-factor SVF model is not powerful enough in forecasting Asian volatility. This has led us to propose an extension …
Persistent link: https://www.econbiz.de/10005101776