Likelihood‐based dynamic factor analysis for measurement and forecasting
用于测度与预测的似然动态因子分析AI 解读 ↓
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用于测度与预测的似然动态因子分析AI 解读 ↓
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We present new results for the likelihood‐based analysis of the dynamic factor model. The latent factors are modelled by linear dynamic stochastic processes. The idiosyncratic disturbance series are specified as autoregressive processes with mutually correlated innovations. The new results lead to computationally efficient procedures for the estimation of the factors and for the parameter estimation by maximum likelihood methods. We also present the implications of our results for models with regression effects, for Bayesian analysis, for signal extraction, and for forecasting. An empirical illustration is provided for the analysis of a large panel of macroeconomic time series.