Dynamic factor models
JH Stock, MW Watson - 2011 - academic.oup.com
This article surveys work on a class of models, dynamic factor models (DFMs), that has
received considerable attention in the past decade because of their ability to model …
received considerable attention in the past decade because of their ability to model …
Forecasting with many predictors
JH Stock, MW Watson - Handbook of economic forecasting, 2006 - Elsevier
Historically, time series forecasts of economic variables have used only a handful of
predictor variables, while forecasts based on a large number of predictors have been the …
predictor variables, while forecasts based on a large number of predictors have been the …
Shocking language: Understanding the macroeconomic effects of central bank communication
We explore how the multi-dimensional aspects of information released by the FOMC has
effects on both market and real economic variables. Using tools from computational …
effects on both market and real economic variables. Using tools from computational …
Implications of dynamic factor models for VAR analysis
JH Stock, MW Watson - 2005 - nber.org
This paper considers VAR models incorporating many time series that interact through a few
dynamic factors. Several econometric issues are addressed including estimation of the …
dynamic factors. Several econometric issues are addressed including estimation of the …
Large dimensional factor analysis
Econometric analysis of large dimensional factor models has been a heavily researched
topic in recent years. This review surveys the main theoretical results that relate to static …
topic in recent years. This review surveys the main theoretical results that relate to static …
Confidence intervals for diffusion index forecasts and inference for factor‐augmented regressions
We consider the situation when there is a large number of series, N, each with T
observations, and each series has some predictive ability for some variable of interest. A …
observations, and each series has some predictive ability for some variable of interest. A …
Determining the number of factors in the general dynamic factor model
M Hallin, R Liška - Journal of the American Statistical Association, 2007 - Taylor & Francis
This article develops an information criterion for determining the number q of common
shocks in the general dynamic factor model developed by Forni et al., as opposed to the …
shocks in the general dynamic factor model developed by Forni et al., as opposed to the …
Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach
E Moench - Journal of Econometrics, 2008 - Elsevier
This paper suggests a term structure model which parsimoniously exploits a broad
macroeconomic information set. The model uses the short rate and the common …
macroeconomic information set. The model uses the short rate and the common …
Regional inflation dynamics within and across euro area countries and a comparison with the United States
GW Beck, K Hubrich, M Marcellino - Economic Policy, 2009 - academic.oup.com
Inflation differentials across regions of an integrated economy can reflect a proper response
to demand and supply conditions, but can also indicate distortions with negative welfare …
to demand and supply conditions, but can also indicate distortions with negative welfare …
Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
Factor model methods recently have become extremely popular in the theory and practice of
large panels of time series data. Those methods rely on various factor models which all are …
large panels of time series data. Those methods rely on various factor models which all are …