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 …

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 …

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 …

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 …

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 …

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 …

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 …

This paper suggests a term structure model which parsimoniously exploits a broad
macroeconomic information set. The model uses the short rate and the common …

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 …

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 …