Download or read book Finite Sample Performance of Small Versus Large Scale Dynamic Factor Models written by Rocio Alvarez and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the finite-sample performance of small versus large scale dynamic factor models. Our Monte Carlo analysis reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of cross-correlation across the idiosyncratic errors of series belonging to the same category, for oversampled categories and, especially, for high persistence in either the common factor series or the idiosyncratic errors. Using a panel of 147 US economic indicators, which are classified into 13 economic categories, we show that a small scale dynamic factor model that uses one representative indicator of each category yields satisfactory or even better forecasting results than a large scale dynamic factor model that uses all the economic indicator.
Download or read book Finite sample performance of small versus large scale dynamic factor models written by Rocio Alvarez and published by . This book was released on 2012 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Finite Sample Performamce of Small Versus Large Scale Dynamic Factor Models written by Rocio Alvarez and published by . This book was released on 2012 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Improving the Finite Sample Performance of Autoregression Estimators in Dynamic Factor Models written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Download or read book Dynamic Factor Models in Estimation and Forecasting written by Victor Bystrov and published by . This book was released on 2008 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Robustness and the General Dynamic Factor Model With Infinite Dimensional Space written by Carlos Trucíos and published by . This book was released on 2020 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in the analysis of high-dimensional time series and have been successfully considered in many economic and financial applications. Being second-order models, however, they are sensitive to the presence of outliers--an issue that has not been analyzed so far in the general case of dynamic factors with possibly infinite-dimensional factor spaces (Forni et al.~2000, 2015, 2017). In this paper, we consider this robustness issue and study the impact of additive outliers on the identification, estimation, and forecasting performance of general dynamic factor models. Based on our findings, we propose robust versions of identification, estimation and forecasting procedures. The finite-sample performance of our methods is evaluated via Monte Carlo experiments and successfully applied to a classical dataset of 115 US macroeconomic and financial time series.
Download or read book Large Dimensional Factor Analysis written by Jushan Bai and published by Now Publishers Inc. This book was released on 2008 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Download or read book Tests for Parameter Instability in Dynamic Factor Models written by Xu Han and published by . This book was released on 2014 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used. Based on the fact that the presence of a structural change in factor loadings yields a structural change in second moments of factors obtained from the full sample principal component estimation, we reduce the infinite-dimensional problem into a finite-dimensional one and our statistic compares the pre- and post-break subsample second moments of estimated factors. Our test is consistent under the alternative hypothesis in which a fraction of or all factor loadings have structural changes. The Monte Carlo results show that our test has good finite-sample size and power.
Download or read book Empirical Bayes Methods for Dynamic Factor Models written by Siem Jan Koopman and published by . This book was released on 2014 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates have lower quadratic loss compared to the standard maximum likelihood estimates. We investigate the methods in a Monte Carlo study where we document the finite sample properties. Finally, we present and discuss the results of an empirical study concerning the forecasting of U.S. macroeconomic time series using our empirical Bayes methods.
Download or read book A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions written by George Kapetanios and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new methodology for estimating factors from large datasets based on state space models, discuss its theoretical properties and compare its performance with that of two alternative estimation approaches based, respectively, on static and dynamic principal components. The new method appears to perform best in recovering the factors in a set of simulation experiments, with static principal components a close second best. Dynamic principal components appear to yield the best fit, but sometimes there are leakages across the common and idiosyncratic components of the series. A similar pattern emerges in an empirical application with a large dataset of US macroeconomic time series.
Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions written by Elias Tzavalis and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Deep Dynamic Factor Models written by Paolo Andreini and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions written by George Kapetanios and published by . This book was released on 2006 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Factor models can cope with many variables without running into scarce degrees of freedom.
