Dynamic Factor Analysis with Arma Factors
نویسنده
چکیده
In this paper we present a new approach to the specification of dynamic factor models. Our model has three advantages over existing work. Firstly, it is based on a minimal-dimension state-space representation giving some gain in computational efficiency over existing methods. Secondly, it easily accommodates hypothesis tests about the order of the factor-filter. Thirdly, by allowing the factor-filter to have a common polynomial factor, ARMA-factor models may be estimated with little extra computational expense over the ARfactor case. We illustrate the use of our model with an application to business cycle analysis. Correspondence to Chris Heaton, Department of Economics, Macquarie University, North Ryde NSW 2109, AUSTRALIA; [email protected].
منابع مشابه
Common Factors of CPI Sub-aggregates and Forecast of Inflation
In this paper, we investigate whether incorporating common factors of CPI sub-aggregates into forecasting models increases the accuracy of forecasts of inflation. We extract factors by both static and dynamic factor models and then embed them in ARMA and VAR models. Using quarterly data of Iran’s CPI and its sub-aggregates, the models are estimated over 1990:2 to 2008:2 and out of sample ...
متن کاملGenerating Economics Scenarios for the Long-Term Solvency Assessment of Life Insurance Companies: The Orthogonal ARMA-GARCH Method
Constructing the models that can generate possible economic scenarios of the returns on major asset classes is essential for solvency assessment. The key issues in establishing a comprehensive ESG models include: how to deal with the large number of risk factors, how to model the dynamics of some chosen factors, and how to incorporate the relations among risk factors. We propose the orthogonal ...
متن کاملResponse Modification Factor of Chevron Braced Frame With Pall Friction Damper
Response modification factors (R-factor) are used in current seismic building codes to reduce earthquake forces associated with seismic design level to determine force levels. In recent years, many authors have shown great interest in the development of seismic structural systems and several theoretical and experimental studies have been conducted to investigate performance of dampers but littl...
متن کاملResponse Modification Factor of Coupled Steel Shear Walls
The present research is concerned with the determination of ductility, over-strength and response modification factors of coupled steel shear wall frames. Three structural models with various numbers of stories, bay width and coupling beam height were analyzed using static pushover and incremental nonlinear dynamic analyses. The ductility, over-strength and response modification factors for the...
متن کاملForcasting Electricity Losses in Transmission and Distribution Grids: System Dynamics Approach Compared to Econometric Method
In this research, the factors affecting on electricity gap were examined in the electricity industry in Iran using the system dynamics approach compared to the econometric method. In the framework of the electricity gap prediction model, simulation of energy demand were investigated as well as its supply and effective factors. Analysis of the problems with these systems was very complicated bec...
متن کامل