Dynamic factor models for forecasting and structural identification
Matteo Barigozzi · London School of Economics and Political Science Research Online (London School of Economics and Political Science) · 2010
We consider new empirical applications of factor models, based on recent methodological advances in forecasting and structural analysis. The main idea underlying factor analysis is that a large set of variables can be explained by a small number of latent variables, the factors, which are responsible for all the relevant dynamics.