Dynamic factor models: A review of the literature:
In the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of these methods, dynamic factor models have seen rapid growth an...
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| Other Authors: | , |
| Format: | Electronic Book Chapter |
| Language: | English |
| Published: |
Paris
OECD Publishing
2014
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| Subjects: | |
| Online Access: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 Volltext |
| Summary: | In the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of these methods, dynamic factor models have seen rapid growth and become very popular among macroeconomists. In this paper, we carry out a survey of recent literature on dynamic factor models. We start by presenting the models used before looking at parameter estimation methods and statistical tests available for choosing the number of factors. We then focus on recent empirical applications dealing with the construction of economic outlook indicators, macroeconomic forecasts, and both macroeconomic and monetary policy analyses |
| Physical Description: | 1 Online-Ressource (35 Seiten) 21 x 28cm |
| DOI: | 10.1787/jbcma-2013-5jz417f7b7nv |
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| spelling | Barhoumi, Karim Verfasser aut Dynamic factor models: A review of the literature Karim Barhoumi, Olivier Darné and Laurent Ferrara Paris OECD Publishing 2014 1 Online-Ressource (35 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier In the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of these methods, dynamic factor models have seen rapid growth and become very popular among macroeconomists. In this paper, we carry out a survey of recent literature on dynamic factor models. We start by presenting the models used before looking at parameter estimation methods and statistical tests available for choosing the number of factors. We then focus on recent empirical applications dealing with the construction of economic outlook indicators, macroeconomic forecasts, and both macroeconomic and monetary policy analyses Economics Darné, Olivier ctb Ferrara, Laurent ctb https://doi.org/10.1787/jbcma-2013-5jz417f7b7nv Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Barhoumi, Karim Dynamic factor models: A review of the literature Economics |
| title | Dynamic factor models: A review of the literature |
| title_auth | Dynamic factor models: A review of the literature |
| title_exact_search | Dynamic factor models: A review of the literature |
| title_exact_search_txtP | Dynamic factor models: A review of the literature |
| title_full | Dynamic factor models: A review of the literature Karim Barhoumi, Olivier Darné and Laurent Ferrara |
| title_fullStr | Dynamic factor models: A review of the literature Karim Barhoumi, Olivier Darné and Laurent Ferrara |
| title_full_unstemmed | Dynamic factor models: A review of the literature Karim Barhoumi, Olivier Darné and Laurent Ferrara |
| title_short | Dynamic factor models: A review of the literature |
| title_sort | dynamic factor models a review of the literature |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/jbcma-2013-5jz417f7b7nv |
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