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Modern Econometric Analysis pp 25–40Cite as

Dynamic Factor Models

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Abstract

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 useful in investigating macroeconomic problems.

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Author information

Authors and Affiliations

  1. Institut für Ökonometrie, Universität Bonn, Bonn

    Jörg Breitung

  2. Forschungszentrum, Deutsche Bundesbank, Deutschland

    Sandra Eickmeier

Authors
  1. Jörg Breitung
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  2. Sandra Eickmeier
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Editor information

Editors and Affiliations

  1. Empirical Economic Research and Econometrics, University of Hannover, Königsworther Platz 1, 30167, Hannover, Germany

    Olaf Hübler

  2. University of Bielefeld, Universitätsstraße 25, 33615, Bielefeld, Germany

    Jachim Frohn

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© 2006 Springer Berlin · Heidelberg

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Breitung, J., Eickmeier, S. (2006). Dynamic Factor Models. In: Hübler, O., Frohn, J. (eds) Modern Econometric Analysis. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-32693-6_3

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