Construct · 1 fields · 1 citations

dynamic factor model: a standalone construct

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Econometrics

summarizing many economic series with a few common factors, which are then used for forecasting.

In econometrics, dynamic factor model refers to summarizing many economic series with a few common factors, which are then used for forecasting. This meaning comes from Stock (2002) in Journal of the American Statistical Association.[1]

Unit
Recovery means
Measured by

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Nearby constructs

association4 fields · 4 citationsjingle · one word, four constructs factor3 fields · 4 citationsjingle · one word, three constructs model3 fields · 3 citationsjingle · one word, three constructs

References

Stock, J. H., & Watson, M. W. (2002). Forecasting Using Principal Components From a Large Number of Predictors. Journal of the American Statistical Association, 97(460), 1167-1179. https://doi.org/10.1198/016214502388618960

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