scholarly journals Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model

2011 ◽  
Author(s):  
Siem Jan Koopman ◽  
Michel van der Wel
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
The U.S

scholarly journals Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model

2013 ◽  
Vol 29 (4) ◽  
pp. 676-694 ◽  
Author(s):  
Siem Jan Koopman ◽  
Michel van der Wel
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
The Us

Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates

2012 ◽  
Author(s):  
Borus Jungbacker ◽  
Siem Jan Koopman ◽  
Michel van der Wel
Keyword(s):  
Factor Analysis ◽  
Interest Rates ◽  
Term Structure ◽  
Dynamic Factor Analysis ◽  
Dynamic Factor ◽  
The U.S

scholarly journals A dynamic factor model of the coincident indicators for the US transportation sector

2004 ◽  
Vol 11 (10) ◽  
pp. 595-600 ◽  
Author(s):  
Kajal Lahiri * ◽  
Wenxiong Yao
Keyword(s):  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Transportation Sector ◽  
The Us

An Application of Dynamic Factor Model to Dry Bulk Market

2011 ◽  
Vol 3 (1) ◽  
pp. 69-81 ◽  
Author(s):  
Byoung-wook Ko
Keyword(s):  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model

Dynamic factor model for network traffic state forecast

2018 ◽  
Vol 118 ◽  
pp. 281-317 ◽  
Author(s):  
Tao Ma ◽  
Zhou Zhou ◽  
Constantinos Antoniou
Keyword(s):  
Network Traffic ◽  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Traffic State

scholarly journals A Dynamic Factor Model for Italian and German Recessions

2018 ◽  
Vol 9 (8) ◽  
Author(s):  
Giovanni De Luca ◽  
Alfonso Carfora
Keyword(s):  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model

scholarly journals Dynamic factor model with infinite‐dimensional factor space: Forecasting

2018 ◽  
Vol 33 (5) ◽  
pp. 625-642 ◽  
Author(s):  
Mario Forni ◽  
Alessandro Giovannelli ◽  
Marco Lippi ◽  
Stefano Soccorsi
Keyword(s):  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Factor Space ◽  
Infinite Dimensional

Measuring the Output Gap using Large Datasets

2021 ◽  
pp. 1-45
Author(s):  
Matteo Barigozzi ◽  
Matteo Luciani
Keyword(s):  
Factor Model ◽  
Theoretical Models ◽  
Output Growth ◽  
Output Gap ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Goods And Services ◽  
Long Run ◽  
Slow Drift ◽  
Macroeconomic Indicators

Abstract We propose a new measure of the output gap based on a dynamic factor model that is estimated on a large number of U.S. macroeconomic indicators and which incorporates relevant stylized facts about macroeconomic data (co-movements, non-stationarity, and the slow drift in long-run output growth over time). We find that, (1) from the mid-1990s to 2008, the U.S. economy operated above its potential; and, (2) in 2018:Q4, the labor market was tighter than the market for goods and services. Because it is mainly data-driven, our measure is a natural complementary tool to the theoretical models used at policy institutions.

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