Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles
نویسندگان
چکیده
منابع مشابه
Dynamic Factor Analysis Models With Time-Varying Parameters.
Dynamic factor analysis models with time-varying parameters offer a valuable tool for evaluating multivariate time series data with time-varying dynamics and/or measurement properties. We use the Dynamic Model of Activation proposed by Zautra and colleagues (Zautra, Potter, & Reich, 1997) as a motivating example to construct a dynamic factor model with vector autoregressive relations and time-v...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1136163