The paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors Ft are I(1) and singular, i.e. Ft has dimension r and is driven by a q-dimensional white noise, the common shocks, with q r, and (2) the idiosyncratic components are I(1). We show that Ft is driven by r-c...

This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic...

This paper investigates whether information from foreign yield curves helps forecast domestic yield curves out-of-sample. A nested methodology to forecast yield curves in domestic and international settings is applied on three major countries (the US, Germany and the UK). This novel methodology...

By representing a system of budget shares as an approximate factor model we determine its rank, i.e. the number of common functional forms, or factors and we estimate a base of the factor space by means of approximate principal components. We assume that the extracted factors span the same space...