This paper concerns the modelling of stochastic processes by means of dynamic factor models. In such models the observed process is decomposed into a structured part called the latent process, and a remainder that is called noise. The observed variables are treated in a symmetric way, so that no...

Global total least squares has been introduced as a method for the identification of deterministic system behaviours. We analyse this method within a stochastic framework, where the observed data are generated by a stationary stochastic process. Conditions are formulated so that the method is...

Behaviours provide an elegant, parameter free characterization of deterministic systems. We discuss a possible application of behaviours in the approximation of stochastic systems. This can be seen as an extension to the dynamic case of the well-known static factor analysis model. An essential...

Global total least squares (GTLS) is a method for the identification of linear systems where no distinction between input and output variables is required. This method has been developed within the deterministic behavioural approach to systems. In this paper we analyse statistical properties of...

In this paper we discuss two methods for the estimation of linear dynamic factor models. The first method is behavioural in nature and consists of the least squares approximation of the observed data by means of a linear system. The second method is based on the statistical concept of principal...

The behavioural framework has several attractions to offer for the identification of multivariable systems. Some of the variables may be left unexplained without the need for a distinction between inputs and outputs; criteria for model quality are independent of the chosen parametrization; and...

We propose a new method of leading index construction that combines the need for data compression with the objective of forecasting. This so-called principal covariate index is constructed to forecast growth rates of the Composite Coincident Index. The forecast performance is compared with an...

Immigration tends to have a mitigating effect on the socioeconomic gender gap among immigrants. To explain this finding, we propose a gender convergence hypothesis that states that migration to a modern ‘open’ society offers women the opportunity to improve their position relative...

This paper is concerned with time series forecasting in the presence of a large number of predictors. The results are of interest, for instance, in macroeconomic and financial forecasting where often many potential predictor variables are available. Most of the current forecast methods with many...

This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using principal component regres- sion. The method aims to maximize the amount of variance of the origi- nal predictor variables retained by the diffusion indexes, by matching the data...