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Dynamic Factor Models

Abstract : 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.
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https://halshs.archives-ouvertes.fr/halshs-02262202
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Submitted on : Friday, August 2, 2019 - 10:19:41 AM
Last modification on : Friday, April 29, 2022 - 10:13:21 AM
Long-term archiving on: : Wednesday, January 8, 2020 - 9:23:23 PM

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Catherine Doz, Peter Fuleky. Dynamic Factor Models. 2019. ⟨halshs-02262202⟩

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