Transcription of Dynamic Factor Models
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Dynamic Factor Models
Dynamic Factor Models January 2010 This revision: May 7, 2010 James H. Stock Department of Economics, Harvard University and the National Bureau of Economic Research and Mark W. Watson* Woodrow Wilson School and Department of Economics, Princeton University and the National Bureau of Economic Research *Prepared for the Oxford Handbook of Economic Forecasting, Michael P. Clements and David F. Hendry (eds), Oxford University Press. We thank Jushan Bai and Serena Ng for helpful discussions and Ugo Troiano for research assistance. 11. Introduction Macroeconometricians face a peculiar data structure.
May 07, 2010 · series; for example, a typical element of . Xit might be the one-period growth rate of a real activity indicator, standardized to have mean zero and unit standard deviation. 2.1 First generation: time-domain maximum likelihood via the Kalman filter . Early time-domain estimation of dynamic factor models used the Kalman filter to
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