Dynamic factor models for forecasting and structural identification

Barigozzi, M. (2010-01-17 - 2010-01-23) Dynamic factor models for forecasting and structural identification [Paper]. Mini-workshop: semiparametric modelling of multivariate economic time series with chaning dynamics.
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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.
Departments LSE > Academic Departments > Statistics
Date Deposited 07 Jan 2011
URI https://researchonline.lse.ac.uk/id/eprint/31128

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