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 .
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. |
| Uncontrolled Keywords: | dynamic factor models, forecasting, structural identification |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Sets: | Departments > Statistics Collections > Economists Online |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/31128/ |
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