The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Common Factors

  • Heather M. Anderson
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_1931

Abstract

This article outlines and illustrates several types of common factor models that are found in the applied economics literature. These factor models include those based on principal components, classical factor analysis, dynamic factor analysis and common features, and the discussion addresses the identification and estimation of factors, as well as the use of common factor models.

Keywords

ARMA processes Autoregressive moving average (ARMA) processes Canonical correlations Capital asset pricing model Classical factor models Coincident indices Common factors Common feature models Common trend model Diffusion indexes Dynamic factor (or index) models Factor analysis Kalman filter Principal component analysis Real business cycle models Reduced rank regressions Static factor models Stone, J Term structure of interest rates Time series analysis 

JEL Classifications

C32 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Heather M. Anderson
    • 1
  1. 1.