Dynamic Factor Models
Book section: Dynamic factor models are parsimonious representations of relationships among time series variables. With the surge in data availability, they have proven to be indispensable in macroeconomic forecasting. This chapter surveys the evolution of these models from their pre-big-data origins to the large-scale models of recent years. We review the associated estimation theory, forecasting approaches, and several extensions of the basic framework.
Author(s)
Catherine Doz, Peter Fuleky
Publisher(s)
- Springer
Scientific editor(s)
- Peter Fuleky
Title of the work
- Macroeconomic Forecasting in the Era of Big Data
Date of publication
- 2020