A Random Matrix Approach to Dynamic Factors in macroeconomic data
AbstractWe show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N / T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV).Application of these methods for macroeconomic indicators for Poland economy is also presented.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1201.6544.
Date of creation: Jan 2012
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Publication status: Published in ACTA PHYSICA POLONICA A Vol. 121 B (2012) 110-120
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
- NEP-BEC-2012-02-15 (Business Economics)
- NEP-CSE-2012-02-15 (Economics of Strategic Management)
- NEP-ECM-2012-02-15 (Econometrics)
- NEP-HRM-2012-02-15 (Human Capital & Human Resource Management)
- NEP-MAC-2012-02-15 (Macroeconomics)
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