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Developments and New Dimensions in Econometrics Read chapter Read first chapter

2006 | OriginalPaper | Chapter

Dynamic Factor Models

Authors : Jörg Breitung, Sandra Eickmeier

Published in: Modern Econometric Analysis

Publisher: Springer Berlin Heidelberg

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Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an empirical application we demonstrate that these models turn out to be useful in investigating macroeconomic problems.

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previous chapter On the Specification and Estimation of Large Scale Simultaneous Structural Models
next chapter Unit Root Testing
Metadata
Title
Dynamic Factor Models
Authors
Jörg Breitung
Sandra Eickmeier
Copyright Year
2006
Publisher
Springer Berlin Heidelberg
Book
Modern Econometric Analysis

Print ISBN: 978-3-540-32692-2

Electronic ISBN: 978-3-540-32693-9

Copyright Year: 2006

DOI
https://doi.org/10.1007/3-540-32693-6_3