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http://hdl.handle.net/10419/19623
  
Title:Dynamic factor models PDF Logo
Authors:Breitung, Jörg
Eickmeier, Sandra
Issue Date:2005
Series/Report no.:Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,38
Abstract:Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an empirical application we demonstrate that these models turn out to be useful in investigating macroeconomic problems.
Subjects:Principal components
dynamic factors
forecasting
JEL:C13
C33
C51
Document Type:Working Paper
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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