Dynamic Factor Models
40 Pages Posted: 8 Jun 2016
There are 2 versions of this paper
Dynamic Factor Models
Journal of the German Statistical Society, Vol. 90, No. 1, pp. 27-40, 2006
Number of pages: 40
Posted: 30 Nov 2005
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597
Date Written: 2005
Abstract
Factor models can cope with many variables without running into scarce degrees of freedom
Keywords: Principal components, dynamic factors, forecasting
JEL Classification: C13, C33, C51
Suggested Citation: Suggested Citation
Breitung, Jörg and Eickmeier, Sandra, Dynamic Factor Models (2005). Bundesbank Series 1 Discussion Paper No. 2005,38, Available at SSRN: https://ssrn.com/abstract=2785221 or http://dx.doi.org/10.2139/ssrn.2785221
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