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Dynamic factor models

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Summary

Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an empirical application we demonstrate that these models turn out to be usefu in investigating macroeconomic problems.

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Authors and Affiliations

  1. Institut für Ökoniometrie, Universität Boon, Adenaeralle 24-42, 53113, Bonn, Germany

    Jörg Breitung

  2. Forschungszentrum, Deutsche Bundesbank, Wilhelm Epstein Straße 14, 60431, Frankfurt, Germany

    Sandra Eickmeier

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  1. Jörg Breitung
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  2. Sandra Eickmeier
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Breitung, J., Eickmeier, S. Dynamic factor models. Allgemeines Statistisches Arch 90, 27–42 (2006). https://doi.org/10.1007/s10182-006-0219-z

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  • DOI: https://doi.org/10.1007/s10182-006-0219-z

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