Dynamic factor models

DOI10.1007/s10182-006-0219-zzbMath1103.62054OpenAlexW3124997844MaRDI QIDQ862777

Sandra Eickmeier, Jörg Breitung

Publication date: 24 January 2007

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-006-0219-z

zbMATH Keywords

forecastingdynamic factorsprincipal components

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (6)

Dissecting the financial cycle with dynamic factor models ⋮ A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model ⋮ Efficient estimation of nonstationary factor models ⋮ Editorial. Factor structures for panel and multivariate time series data ⋮ Estimation of high-dimensional linear factor models with grouped variables ⋮ Dynamic factor structure of team performances in Liga MX

Cites Work

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• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model

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