This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions Author info | Abstract | Publisher info | Download info | Related research | Statistics Kapetanios, George
Marcellino, Massimiliano
Additional information is available for the following
registered author(s):
The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new parametric methodology for estimating factors from large datasets based on state space models and discuss its theoretical properties. In particular, we show that it is possible to estimate consistently the factor space. We also develop a consistent information criterion for the determination of the number of factors to be included in the model. Finally, we conduct a set of simulation experiments that show that our approach compares well with existing alternatives.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number
5620.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: Apr 2006Date of revision:
Handle: RePEc:cpr:ceprdp:5620Contact details of provider: Postal: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG Phone: 44 - 20 - 7183 8801 Fax: 44 - 20 - 7183 8820
Order Information: Email:
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: factor models ; principal components ; subspace algorithms ; Other versions of this item:
Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003.
"The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting ,"
LEM Papers Series
2003/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
[Downloadable!]
Other versions:
Forni M. & Hallin M., 2003.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting ,"
Computing in Economics and Finance 2003
143, Society for Computational Economics.
Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2002.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting ,"
CEPR Discussion Papers
3432, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting ,"
Journal of the American Statistical Association ,
American Statistical Association, vol. 100, pages 830-840, September.
[Downloadable!] (restricted) Forni, Mario & Reichlin, Lucrezia, 1997.
"National Policies and Local Economies: Europe and the United States ,"
CEPR Discussion Papers
1632, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Forni, Mario & Reichlin, Lucrezia, 1995.
"Let's Get Real: A Dynamic Factor Analytical Approach to Disaggregated Business Cycle ,"
CEPR Discussion Papers
1244, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Forni, Mario & Reichlin, Lucrezia, 1996.
"Dynamic Common Factors in Large Cross-Sections ,"
Empirical Economics ,
Springer, vol. 21(1), pages 27-42.
Other versions: Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2000.
"Reference Cycles: The NBER Methodology Revisited ,"
CEPR Discussion Papers
2400, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
George Kapetanios & Massimiliano Marcellino, 2003.
"A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions ,"
Working Papers
489, Queen Mary, University of London, Department of Economics.
[Downloadable!]
Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia, .
"Principal components at work: The empirical analysis of monetary policy with large datasets ,"
Working Papers
223, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!]
Other versions: Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999.
"The Generalized Dynamic Factor Model: Identification and Estimation ,"
CEPR Discussion Papers
2338, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: James H. Stock & Mark W. Watson, 1988.
"A Probability Model of The Coincident Economic Indicators ,"
NBER Working Papers
2772, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Stock, J.H. & Watson, M.W., 1989.
"New Indexes Of Coincident And Leading Economic Indicators ,"
Papers
178d, Harvard - J.F. Kennedy School of Government.
Other versions: Connor, Gregory & Korajczyk, Robert A, 1993.
" A Test for the Number of Factors in an Approximate Factor Model ,"
Journal of Finance ,
American Finance Association, vol. 48(4), pages 1263-91, September.
[Downloadable!] (restricted)
Jushan Bai & Serena Ng, 2002.
"Determining the Number of Factors in Approximate Factor Models ,"
Econometrica ,
Econometric Society, vol. 70(1), pages 191-221, January.
[Downloadable!] (restricted)
Other versions: Chamberlain, Gary & Rothschild, Michael, 1983.
"Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets ,"
Econometrica ,
Econometric Society, vol. 51(5), pages 1281-304, September.
[Downloadable!] (restricted)
Other versions: Stock, James H & Watson, Mark W, 2002.
"Macroeconomic Forecasting Using Diffusion Indexes ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(2), pages 147-62, April.
Danny Quah & Thomas J. Sargent, 1992.
"A dynamic index model for large cross sections ,"
Discussion Paper / Institute for Empirical Macroeconomics
77, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions:
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009.
"Pooling versus model selection for nowcasting with many predictors: an application to German GDP ,"
Discussion Paper Series 1: Economic Studies
2009,03, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Other versions: Eickmeier, Sandra, 2006.
"Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model ,"
Discussion Paper Series 1: Economic Studies
2006,31, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Massimiliano Marcellino & Christian Schumacher, 2008.
"Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1 ,"
Working Papers
333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!]
Other versions:
Massimiliano Marcellino & Christian Schumacher, 2008.
"Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP ,"
Economics Working Papers
ECO2008/16, European University Institute.
[Downloadable!] Marcellino, Massimiliano & Schumacher, Christian, 2007.
"Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP ,"
Discussion Paper Series 1: Economic Studies
2007,34, Deutsche Bundesbank, Research Centre.
[Downloadable!] Marcellino, Massimiliano & Schumacher, Christian, 2008.
"Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP ,"
CEPR Discussion Papers
6708, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008.
"Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change ,"
Economics Working Papers
ECO2008/17, European University Institute.
[Downloadable!]
Other versions:
Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2008.
"Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change ,"
CEPR Discussion Papers
6706, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008.
"Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change ,"
Working Papers
334, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!] Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese., 2008.
"New Eurocoin: Tracking Economic Growth in Real Time ,"
Center for Economic Research (RECent)
020, University of Modena and Reggio E., Dept. of Economics.
[Downloadable!]
Other versions:
Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2007.
"New Eurocoin: Tracking Economic Growth in Real Time ,"
Temi di discussione (Economic working papers)
631, Bank of Italy, Economic Research Department.
[Downloadable!] Altissimo, Filippo & Cristadoro, Riccardo & Forni, Mario & Lippi, Marco & Veronese, Giovanni, 2006.
"New EuroCOIN: Tracking Economic Growth in Real Time ,"
CEPR Discussion Papers
5633, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Heather Anderson & Fashid Vahid, 2005.
"Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? ,"
ANUCBE School of Economics Working Papers
2005-451, Australian National University, College of Business and Economics, School of Economics.
[Downloadable!]
Other versions: Boriss Siliverstovs & Konstantin A. Kholodilin, 2006.
"On Selection of Components for a Diffusion Index Model: It's not the Size, It's How You Use It ,"
Discussion Papers of DIW Berlin
598, DIW Berlin, German Institute for Economic Research.
[Downloadable!]
Other versions: Konstantin A. Kholodilin & Boriss Siliverstovs, 2005.
"On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence ,"
Discussion Papers of DIW Berlin
522, DIW Berlin, German Institute for Economic Research.
[Downloadable!]
Other versions: Oliver Hülsewig & Johannes Mayr & Timo Wollmershäuser, 2008.
"Forecasting Euro Area Real GDP: Optimal Pooling of Information ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Alain N. Kabundi & Francisco Nadal-De Simone, 2007.
"France in the Global Economy: A Structural Approximate Dynamic Factor Model Analysis ,"
IMF Working Papers
07/129, International Monetary Fund.
[Downloadable!]
Gonzalo Camba-Méndez & George Kapetanios, 2004.
"Forecasting euro area inflation using dynamic factor measures of underlying inflation ,"
Working Paper Series
402, European Central Bank.
[Downloadable!]
Sandra Eickmeier & Joerg Breitung, 2006.
"Business cycle transmission from the euro area to CEECs ,"
Computing in Economics and Finance 2006
229, Society for Computational Economics.
[Downloadable!]
Access and
download statistics Did you know? RePEc also has a blog .
This page was last updated on 2009-11-25.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .