Dynamic factor models

DOI10.1007/S10182-006-0219-ZMaRDI QIDQ862777zbMATH OpenOpenAlexFDO

Authors Jörg Breitung, Sandra Eickmeier

Publication date 24 January 2007

Published in AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-006-0219-z

zbMATH Keywords

principal componentsforecastingdynamic factors

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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• scientific article; zbMATH DE number 1911755

Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
• Bootstrap Statistical Tests of Rank Determination for System Identification
• Determining the Number of Factors in Approximate Factor Models
• Factor-GMM estimation with large sets of possibly weak instruments
• Forecasting Using Principal Components From a Large Number of Predictors
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Inferential Theory for Factor Models of Large Dimensions
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Tests of Conditional Predictive Ability
• The Generalized Dynamic Factor Model
• The generalized dynamic factor model consistency and rates

Cited in

(22)

• Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
• Forecasting key macroeconomic variables from a large number of predictors: a state space approach
• Dynamic factors of macroeconomic data
• Factor models for asset returns based on transformed factors
• Dissecting the financial cycle with dynamic factor models
• Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models
• Dynamic factor structure of team performances in Liga MX
• Short cuts to dynamic factor demand modelling
• A Lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model
• Editorial. Factor structures for panel and multivariate time series data
• Extremes of Some Sub-Sampled Time Series
• DYNAMIC FACTOR MODELS
• Likelihood-based dynamic factor analysis for measurement and forecasting
• Estimation of high-dimensional linear factor models with grouped variables
• Are more data always better for factor analysis?
• Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
• Recent development in the econometric theory of factor models
• Can we use seasonally adjusted variables in dynamic factor models?
• Efficient estimation of nonstationary factor models
• Dynamic factors in the presence of block structure
• Dynamic Factor Models
• Complex eigenvectors and ratios of variables

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