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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-02491811
Contributor : Caroline Bauer <>
Submitted on : Wednesday, February 26, 2020 - 1:44:12 PM
Last modification on : Friday, February 5, 2021 - 3:01:34 AM

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Catherine Doz, Peter Fuleky. Dynamic Factor Models. Peter Fuleky. Macroeconomic Forecasting in the Era of Big Data, Springer, pp.27-64, 2020, ⟨10.1007/978-3-030-31150-6_2⟩. ⟨halshs-02491811⟩

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