Dynamic Factor Models

40 Pages Posted: 8 Jun 2016

See all articles by Jörg Breitung

Jörg Breitung

University of Bonn; Deutsche Bundesbank

Sandra Eickmeier

Deutsche Bundesbank; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

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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

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

Jörg Breitung (Contact Author)

University of Bonn ( email )

Postfach 2220
Bonn, D-53012
Germany

Deutsche Bundesbank

Wilhelm-Epstein-Strasse 14
Frankfurt/Main D-60431
Germany

Sandra Eickmeier

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Strasse 14
Frankfurt/Main D-60431
Germany

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

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