Dynamic Factor Models
Catherine Doz
(1, 2)
,
Peter Fuleky
(3)
Catherine Doz
- Fonction : Auteur
- PersonId : 913244
- IdHAL : catherine-doz
Résumé
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.
Domaines
Economies et finances| Format du dépôt | Notice |
|---|---|
| Type de dépôt | Chapitre d'ouvrage |
| Titre |
en
Dynamic Factor Models
|
| Résumé |
en
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
1, 2
, Peter Fuleky
3
1
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
2
PJSE -
Paris Jourdan Sciences Economiques
( 578027 )
- 48 boulevard Jourdan 75014 Paris
- France
3
University of Hawaii
( 303923 )
- États-Unis
|
| Langue du document |
Anglais
|
| Titre de l'ouvrage |
Macroeconomic Forecasting in the Era of Big Data
|
| Vulgarisation |
Non
|
| Audience |
Internationale
|
| Date de publication |
2020-11-29
|
| Page/Identifiant |
27-64
|
| Domaine(s) |
|
| Éditeur commercial |
|
| Éditeur scientifique |
|
| DOI | 10.1007/978-3-030-31150-6_2 |
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