Dynamic factor models: A review of the literature
AbstractIn the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of these methods, dynamic factor models have seen rapid growth and become very popular among macroeconomists. In this paper, we carry out a survey of recent literature on dynamic factor models. We start by presenting the models used before looking at parameter estimation methods and statistical tests available for choosing the number of factors. We then focus on recent empirical applications dealing with the construction of economic outlook indicators, macroeconomic forecasts, and both macroeconomic and monetary policy analyses.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by OECD Publishing,CIRET in its journal OECD Journal: Journal of Business Cycle Measurement and Analysis.
Volume (Year): 2013 (2013)
Issue (Month): 2 ()
Other versions of this item:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Helmut Lütkepohl, 2014.
"Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey,"
SFB 649 Discussion Papers
SFB649DP2014-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin 1351, DIW Berlin, German Institute for Economic Research.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.