Dynamic Factor Models - Princeton University

← Back to document page

May 07, 2010 · many related macroeconomic, financial, and sectoral variables. Thus macroeconometricians face data sets that have hundreds or even thousands of series, but the number of observations on each series is relatively short, for example 20 to 40 years of quarterly data. This chapter surveys work on a class of models, dynamic factor models (DFMs),

  Series, University, Princeton, Financial, Princeton university