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Dynamic Factor Models Siem Jan Koopman
Publisher: Emerald Group Publishing Limited

Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement. (University of Bonn and Deutsche Bundesbank). Big Data Dynamic Factor Models for Macroeconomic Measurement and Forecasting. MATTEO BARIGOZZI1 and; MARC HALLIN2,3. Generalized dynamic factor models and volatilities recovering the market volatility shocks. Forecast Accuracy using Bootstrapping by. A problem arises however, when representing economic time series which generally are nonstationary. University of Pennsylvania and NBER. (Deutsche Bundesbank and University of Cologne). We develop a dynamic factor model with time-varying factor loadings and stochastic volatility in both the latent factors and idiosyncratic components. Stata's dfactor estimates the parameters of dynamic-factor models by maximum likelihood. Advances in Econometrics Volume 35. Most widespread index model, the dynamic factor model (the theory behind this In this thesis I focus on dynamic factor models and on their ability to forecast. Determinants of the forecast performance of large-scale dynamic factor models relative to other models. Factor Models with an Application to Credit Risk We propose an observation driven dynamic factor model for mixed-measurement and. In this paper the dynamic factor model considered can. Factor Model: A Sensitivity Analysis of. We find that, on average, factor forecasts are slightly better than other models' forecasts. This paper proposes the use of dynamic factor models as an alternative to the Keywords: dynamic and static rank, factor models, DSGE models, forecasting. The Stacked Leading Indicators Dynamic.