Arbeitspapier
Factor analysis using subspace factor models: Some theoretical results and an application to UK inflation forecasting
Recent work in the macroeconometric literature considers the problem of summarising efficiently a large set of variables and using this summary for a variety of purposes including forecasting. Work in this field has been carried out in a series of recent papers. This paper provides an alternative method for estimating factors derived from a factor state space model. This model has a clear dynamic interpretation. Further, the method does not require iterative estimation techniques and due to a modification introduced, can accommodate cases where the number of variables exceeds the number of observations. The computational cost and robustness of the method is comparable to that of principal component analysis because matrix algebraic methods are used.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 466
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Factor models, Subspace methods, State space models
Faktorenanalyse
Prognoseverfahren
Schätzung
Inflation
Großbritannien
Zustandsraummodell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Entstanden
- 2002
Ähnliche Objekte (12)
A new method for determining the number of factors in factor models with large datasets
A testing procedure for determining the number of factors in approximate factor models with large datasets
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Forecasting financial crises and contagion in Asia using dynamic factor analysis
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
Model selection criteria for factor-augmented regressions
A dynamic factor analysis of financial contagion in Asia
Factor-GMM estimation with large sets of possibly weak instruments
A comparison of estimation methods for dynamic factor models of large dimensions
Forecasting with measurement errors in dynamic models
A stochastic variance factor model for large datasets and an application to S&P data
A new method for determining the number of factors in factor models with large datasets
A testing procedure for determining the number of factors in approximate factor models with large datasets
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Forecasting financial crises and contagion in Asia using dynamic factor analysis
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
Model selection criteria for factor-augmented regressions
A dynamic factor analysis of financial contagion in Asia
Factor-GMM estimation with large sets of possibly weak instruments
A comparison of estimation methods for dynamic factor models of large dimensions
Forecasting with measurement errors in dynamic models
A stochastic variance factor model for large datasets and an application to S&P data
A new method for determining the number of factors in factor models with large datasets
A testing procedure for determining the number of factors in approximate factor models with large datasets
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Forecasting financial crises and contagion in Asia using dynamic factor analysis
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
Model selection criteria for factor-augmented regressions
A dynamic factor analysis of financial contagion in Asia
Factor-GMM estimation with large sets of possibly weak instruments
A comparison of estimation methods for dynamic factor models of large dimensions
Forecasting with measurement errors in dynamic models