Empirical Bayes Methods for Dynamic Factor Models

Empirical Bayes Methods for Dynamic Factor Models Koopman(a) and G. Mesters(b). (a). VU University Amsterdam, Tinbergen Institute and CREATES, Aarhus University (b). Universitat Pompeu Fabra, Barcelona GSE and The Netherlands Institute for the Study of Crime and Law Enforcement March 21, 2016. 1. Abstract We consider the Dynamic Factor model where the loading matrix, the Dynamic factors and the disturbances are treated as latent stochastic processes. We present Empirical Bayes Methods that enable the shrinkage-based estimation of the loadings and fac- tors. We investigate the Methods in a large Monte Carlo study where we evaluate the finite sample properties of the Empirical Bayes Methods for quadratic loss functions. Finally, we present and discuss the results of an Empirical study concerning the fore- casting of macroeconomic time series using our Empirical Bayes Methods .

Empirical Bayes Methods for Dynamic Factor Models S.J. Koopman (a )and G. Mesters b (a) VU University Amsterdam, Tinbergen Institute and CREATES, Aarhus University (b) Universitat Pompeu Fabra, Barcelona GSE and

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  Model, Methods, Dynamics, Factors, Ebay, Empirical, Empirical bayes methods for dynamic factor models

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