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Consistent Factor Estimation in Dynamic Factor Models with Structural Instability
Factor Estimation Dynamic Factor Models Structural Instability
2014/3/18
This paper considers the estimation of approximate dynamic factor models when there is temporal instability in the factor loadings. We characterize the type and magnitude of instabilities under which ...
Functional dynamic factor models with application to yield curve forecasting
Functional data analysis expectation maximization algorithm natural cubic splines cross-validation roughness penalty
2012/11/23
Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasti...
Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models
Univariate and multivariatestable distributions MCMC Approximate,Aayesian,Computation Characteristic function
2012/11/21
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i)...
Spatial Dynamic Factor Analysis
Bayesian inference forecasting Gaussian process spatial interpolation random fields
2009/9/22
A new class of space-time models derived from standard dynamic fac-
tor models is proposed. The temporal dependence is modeled by latent factors
while the spatial dependence is modeled by the factor...
Dynamic factor models have a wide range of applications in econometrics and applied economics. The basic motivation resides in their capability of reducing a large set of time series to only few indic...
A dynamic factor model framework for forecast combination
Combination forecasts principal component regression James-Stein estimation
2014/3/18
A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting,...
ALTERNATIVE ALGORITHMS FOR THE ESTIMATION OF DYNAMIC FACTOR, MIMIC AND VARYING COEFFICIENT REGRESSION MODELS
Alternative AlgorithmsEstimation of Dynamic MIMICFactorTime Varying Coefficient Regression Models
2014/3/18
This paper provides a general approach to the formulation and estimation of dynamic unobserved component models. After introducing the general model, two methods for estimating ...
