Transcription of Dynamic Factor Models - Princeton University
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Dynamic Factor Models - Princeton University
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. On the one hand, the number of years for which there is reliable and relevant data is limited and cannot readily be increased other than by the passage of time. On the other hand, for much of the postwar period statistical agencies have collected monthly or quarterly data on a great many related macroeconomic, financial, and sectoral variables.
May 07, 2010 · Introduction . Macroeconometricians face a peculiar data structure. On the one hand, the ... to researchers new to the area, the key theoretical results, applications, and empirical ... (small N) parametric models estimated in the time domain using Gaussian maximum likelihood estimation (MLE) and the ...
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