Principal components at work: the empirical analysis of monetary policy with large data sets
主成分的应用：利用大型数据集分析货币政策
Abstract The empirical analysis of monetary policy requires the construction of instruments for future expected inflation. Dynamic factor models have been applied rather successfully to inflation forecasting. In fact, two competing methods have recently been developed to estimate large‐scale dynamic factor models based, respectively, on static and dynamic principal components. This paper combines the econometric literature on dynamic principal components and the empirical…