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Chapter 8. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics

Stock, J.H.; Watson, M.W. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 415-525). 2016

This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses … application to oil shocks how the same identification strategies can be applied to each type of model. …

Persistent link: https://www.econbiz.de/10014024278

Long memory factor model : on estimation of factor memories

Cheung, Ying Lun - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 756-769

Persistent link: https://www.econbiz.de/10013534489

Time varying three pass regression filter

Marcellino, Massimiliano; Dendramis, Yiannis; … - 2023

Persistent link: https://www.econbiz.de/10014383819

Dynamic factor models : does the specification matter?

Miranda, Karen; Poncela, Pilar; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 397-428

variables. This paper analyses the empirical consequences on factor estimation, in-sample predictions and out …

Persistent link: https://www.econbiz.de/10013326908

Forecasting macroeconomic variables using collapsed dynamic factor analysis

Bräuning, Falk; Koopman, Siem Jan - In: International journal of forecasting 30 (2014) 3, pp. 572-584

Persistent link: https://www.econbiz.de/10010513606

Using principal component analysis to estimate a high dimensional factor model with high-frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399

Persistent link: https://www.econbiz.de/10011920525

Construction of a survey-based measure of output gap

Benčík, Michal - 2019

Persistent link: https://www.econbiz.de/10012134679

Estimating non-stationary common factors : implications for risk sharing

Corona, Francisco; Poncela, Pilar; Ruiz, Esther - In: Computational economics 55 (2020) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10012222591

Growth in stress

González-Rivera, Gloria; Maldonado, Javier; Ruiz, Esther - In: International journal of forecasting 35 (2019) 3, pp. 948-966

Persistent link: https://www.econbiz.de/10012305193

Disentangling structural breaks in high dimensional factor models

Koo, Bonsoo; Wong, Benjamin; Zhong, Ze-Yu - 2023

Persistent link: https://www.econbiz.de/10014266817