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Dynamic factor models for forecasting and structural identification

Barigozzi, Matteo (2010) Dynamic factor models for forecasting and structural identification. In: Mini-workshop: semiparametric modelling of multivariate economic time series with chaning dynamics, January 17th-January 23rd, 2010 .

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Abstract

We consider new empirical applications of factor models, based on recent methodological advances in forecasting and structural analysis. The main idea underlying factor analysis is that a large set of variables can be explained by a small number of latent variables, the factors, which are responsible for all the relevant dynamics.

Item Type: Conference or Workshop Item (Paper)
Official URL: http://www.mfo.de/programme/schedule/2010/03c/OWR_...
Additional Information: © 2010 Matteo Barigozzi. Published in Mathematisches Forschunginstitut Oberwolfach Reports 05, 2010.
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Sets: Departments > Statistics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 07 Jan 2011 10:40
URL: http://eprints.lse.ac.uk/31128/

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