Arbeitspapier
Empirical Bayes Methods for Dynamic Factor Models
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 14-061/III
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Index Numbers and Aggregation; Leading indicators
- Subject
-
Importance sampling
Kalman filtering
Likelihood-based analysis
Posterior modes
Rao-Blackwellization
Shrinkage
- Event
-
Geistige Schöpfung
- (who)
-
Koopman, Siem Jan
Mesters, Geert
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Koopman, Siem Jan
- Mesters, Geert
- Tinbergen Institute
Time of origin
- 2014
Other Objects (12)
Likelihood-based Analysis for Dynamic Factor Models
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
The Dynamic Factor Network Model with an Application to Global Credit-Risk
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
The Dynamic Skellam Model with Applications
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
Likelihood-based Analysis for Dynamic Factor Models
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
The Dynamic Factor Network Model with an Application to Global Credit-Risk
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
The Dynamic Skellam Model with Applications
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
Likelihood-based Analysis for Dynamic Factor Models
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
The Dynamic Factor Network Model with an Application to Global Credit-Risk
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
The Dynamic Skellam Model with Applications
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures