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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| Weitere Verfasser: | , |
| Format: | Elektronisch Artikel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2014
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| Schlagworte: | |
| Online-Zugang: | DE-862 DE-863 |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 Online-Ressource (35 Seiten) 21 x 28cm. |
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| spelling | Barhoumi, Karim VerfasserIn 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. Text txt rdacontent Computermedien c rdamedia Online-Ressource 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 MitwirkendeR ctb Ferrara, Laurent MitwirkendeR ctb Enthalten in OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2013, no. 2, p. 73-107 volume:2013 year:2013 number:2 pages:73-107 |
| 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_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 |
| work_keys_str_mv | AT barhoumikarim dynamicfactormodelsareviewoftheliterature AT darneolivier dynamicfactormodelsareviewoftheliterature AT ferraralaurent dynamicfactormodelsareviewoftheliterature |