Large Dimensional Dynamic Factor Models In Real Time
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Author | : Matteo Luciani |
Publisher | : |
Total Pages | : 31 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Large-Dimensional Dynamic Factor Models in Real-Time Book in PDF, Epub and Kindle
In this paper I review the literature on Large-Dimensional Dynamic Factor Models for real-time applications. I first present the Dynamic Factor model, the implications of using large-dimensional databases, and the challenges of real-time applications. Then, I discuss how the literature has solved these problems, and I present numerous empirical applications that show the usefulness of these models in both constructing business cycle indicators, and predicting economic activity. Finally, I present two recent extensions of the Dynamic Factor model, one in a Bayesian and one in a non-stationary setting.
Author | : Michael P. Clements |
Publisher | : OUP USA |
Total Pages | : 732 |
Release | : 2011-07-08 |
Genre | : Business & Economics |
ISBN | : 0195398645 |
Download The Oxford Handbook of Economic Forecasting Book in PDF, Epub and Kindle
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Author | : Jörg Breitung |
Publisher | : |
Total Pages | : 40 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Dynamic Factor Models Book in PDF, Epub and Kindle
Factor models can cope with many variables without running into scarce degrees of freedom.
Author | : Mario Forni |
Publisher | : |
Total Pages | : 40 |
Release | : 2016 |
Genre | : Econometric models |
ISBN | : |
Download Dynamic Factor Model with Infinite Dimensional Factor Space Book in PDF, Epub and Kindle
The paper compares the pseudo real-time forecasting performance of three Dynamic Factor Models: (i) The standard principal-component model, Stock and Watson (2002a), (ii) The model based on generalized principal components, Forni et al. (2005), (iii) The model recently proposed in Forni et al. (2015b) and Forni et al. (2015a). We employ a large monthly dataset of macroeconomic and financial time series for the US economy, which includes the Great Moderation, the Great Recession and the subsequent recovery. Using a rolling window for estimation and prediction, we find that (iii) neatly outperforms (i) and (ii) in the Great Moderation period for both Industrial Production and Inflation, and for Inflation over the full sample. However, (iii) is outperfomed by (i) and (ii) over the full sample for Industrial Production.
Author | : Jushan Bai |
Publisher | : Now Publishers Inc |
Total Pages | : 90 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 1601981449 |
Download Large Dimensional Factor Analysis Book in PDF, Epub and Kindle
Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
Author | : Carlos Trucíos |
Publisher | : |
Total Pages | : 33 |
Release | : 2020 |
Genre | : |
ISBN | : |
Download Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space Book in PDF, Epub and Kindle
General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in the analysis of high-dimensional time series and have been successfully considered in many economic and financial applications. Being second-order models, however, they are sensitive to the presence of outliers--an issue that has not been analyzed so far in the general case of dynamic factors with possibly infinite-dimensional factor spaces (Forni et al.~2000, 2015, 2017). In this paper, we consider this robustness issue and study the impact of additive outliers on the identification, estimation, and forecasting performance of general dynamic factor models. Based on our findings, we propose robust versions of identification, estimation and forecasting procedures. The finite-sample performance of our methods is evaluated via Monte Carlo experiments and successfully applied to a classical dataset of 115 US macroeconomic and financial time series.
Author | : Marc Hallin |
Publisher | : World Scientific Publishing Company |
Total Pages | : 764 |
Release | : 2020-03-30 |
Genre | : Business & Economics |
ISBN | : 9789813278004 |
Download Time Series in High Dimension: the General Dynamic Factor Model Book in PDF, Epub and Kindle
Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.
Author | : Elias Tzavalis |
Publisher | : |
Total Pages | : |
Release | : 2003 |
Genre | : |
ISBN | : |
Download A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions Book in PDF, Epub and Kindle
Author | : Siem Jan Koopman |
Publisher | : Emerald Group Publishing |
Total Pages | : 685 |
Release | : 2016-01-08 |
Genre | : Business & Economics |
ISBN | : 1785603523 |
Download Dynamic Factor Models Book in PDF, Epub and Kindle
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Author | : Frank Schmid |
Publisher | : |
Total Pages | : 129 |
Release | : 2009 |
Genre | : |
ISBN | : 9783866244597 |
Download Essays on the Large Dimensional Approximate Dynamic Factor Model Book in PDF, Epub and Kindle