Dynamic Factor Models
Pre-print, Working paper: 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.
Keywords JEL
Keywords
- Dynamic factor models
- Big data
- Two-step estimation
- Time domain
- Frequency domain
- Structural breaks
Internal reference
- PSE Working Papers n°2019-45
URL of the HAL notice
Version
- 1