Dynamic Factor Models

Pré-publication, Document de travail: 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

Date de publication
  • 2019
Mots-clés JEL
C32 C38 C53 C55
Mots-clés
  • Dynamic factor models
  • Big data
  • Two-step estimation
  • Time domain
  • Frequency domain
  • Structural breaks
Référence interne
  • PSE Working Papers n°2019-45
Version
  • 1