Dynamic factor models

Jörg Breitung; Sandra Eickmeier

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.

MoreLess

Year of publication:	2005
Authors:	Breitung, Jörg ; Eickmeier, Sandra
Publisher:	Frankfurt am Main : Dt. Bundesbank
Description of contents:	Table of Contents [gbv.de] ; Description [opus.zbw-kiel.de]

Extent:	29 S. Tab. b
Series:	Discussion paper / 1 / Deutsche Bundesbank ; Eurosystem. - Frankfurt, M. : Dt. Bundesbank, Press and Public Relations Div., ZDB-ID 2135950-7.
Type of publication:	Book / Working Paper
Language:	English ; German
Notes:	Zsfassung in dt. Sprache Literaturverz. S. 13 - 16
ISBN:	3-86558-097-1
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003302725