Dynamic factor models for forecasting and structural identification
Barigozzi, Matteo
(2010)
Dynamic factor models for forecasting and structural identification
In: Mini-workshop: semiparametric modelling of multivariate economic time series with chaning dynamics, 2010-01-17 - 2010-01-23.
We consider new empirical applications of factor models, based on recent methodological advances in forecasting and structural analysis. The main idea underlying factor analysis is that a large set of variables can be explained by a small number of latent variables, the factors, which are responsible for all the relevant dynamics.
| Item Type | Conference or Workshop Item (Paper) |
|---|---|
| Copyright holders | © 2010 Matteo Barigozzi. Published in Mathematisches Forschunginstitut Oberwolfach Reports 05, 2010. |
| Keywords | dynamic factor models, forecasting, structural identification |
| Departments | Statistics |
| Date Deposited | 07 Jan 2011 10:40 |
| URI | https://researchonline.lse.ac.uk/id/eprint/31128 |