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 .
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)|
|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
|Date Deposited:||07 Jan 2011 10:40|
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