Dynamic factor models

DOI10.1007/s10182-006-0219-zzbMath1103.62054MaRDI QIDQ862777

Sandra Eickmeier, Jörg Breitung

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

forecasting; dynamic factors; principal components

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

91B64: Macroeconomic theory (monetary models, models of taxation)

Related Items

Dissecting the financial cycle with dynamic factor models, Efficient estimation of nonstationary factor models, Editorial. Factor structures for panel and multivariate time series data, Estimation of high-dimensional linear factor models with grouped variables, A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model

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