Dynamic Factor Models

Chapitre d'ouvrage: 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.

Auteur(s)

Catherine Doz, Peter Fuleky

Éditeur(s)
  • Springer
Éditeur(s) scientifique(s)
  • Peter Fuleky
Titre de l’ouvrage
  • Macroeconomic Forecasting in the Era of Big Data
Date de publication
  • 2020
Pages
  • 27-64
Version
  • 1