论文检索

大 N、大 T 面板中动态因子数量的一致估计AI 解读

Bai and Ng proposed a consistent estimator for the number of static factors in a large N and T approximate factor model. This article shows how the Bai–Ng estimator can be modified to consistently estimate the number of dynamic factors in a restricted dynamic factor model. The modification is straightforward: The standard Bai–Ng estimator is applied to residuals obtained by projecting the observed data onto lagged values of principal-components estimates of the static…

基于扩散指数的宏观经济预测AI 解读

This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by principal component analysis. An approximate dynamic factor model serves as the statistical framework for the estimation of the indexes and construction of the forecasts. The method is used to construct 6-, 12-, and 24-month ahead forecasts for eight monthly U.S. macroeconomic time series using…