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Dynamic Factor Models

  • Catherine Doz
  • Peter FulekyEmail author
Chapter
Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 52)

Abstract

Dynamic factor models are parsimonious representations of relationships among time series variables. With the surge in data availability, they have proven to be indispensable in macroeconomic forecasting. This chapter surveys the evolution of these models from their pre-big-data origins to the large-scale models of recent years. We review the associated estimation theory, forecasting approaches, and several extensions of the basic framework.

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© Springer Nature Switzerland AG 2020

Authors and Affiliations

  1. 1.Paris School of Economics and University Paris 1 Panthéon-SorbonneParisFrance
  2. 2.UHERO and Department of EconomicsUniversity of HawaiiHonoluluUSA

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