Adrian,
There is a substantial literature on dynamic factor models. Mario Forni and Lucrezia Richlin have written on this in 1996 and 1998 . In September 2003, Mario Forni, Marc Hallan, Marco Lippi, and
Lucrezia Richline published "The Generalized Dynamic Factor Model: One-sided
Estimation and Forecasting," as an LEM working paper (2003/13). Marco Lippi and Daniel Thornton
have written a working paper for the St. Louis Federal Reserve bank (WP2004-013a) in
2004, entitled "A dynamic factor analysis of the response of U.S. interest to News."
Stock and Watson in 1989, 1991, and later have worked on this subject. In 2005 they
published, "Implications of Dynamic Factor models for VAR analysis," in which they have dealt with dynamic factors and model identification with long and short run restrictions in VAR form. Tao Chen, Elaine Martin, and Gary Montague have written an article in Computational Statistics and Data Analysis (2009) v. 59 entitled, "Robust probabalistic PCA with missing data and contribution for outlier detection." Rangan Gupta and Alain Kabundi in 2008 (Journal of Economic Literature) have written "A Dynamic Factor Analysis for Forecasting Macroeconomic Variables in South Africa." Some
time ago, Allessandro Federici and Andrea Mazzitelli in 2005 at an Italian Stata User's Group presented "Dynamic Factor Analysis with Stata," based on the Coppi and Zannella(1978) and later work.
In 2004 Ben Bernanke has written on factor analysis with BVAR models. Siem Jan Koopman has also incorporated PCA in his state space models. James Hamilton, in his 1994 classic, Time Series Analysis, has shown how state space models lend themselves to dynamic factor analysis.
And these are small sample of the articles that have emerged on this subject. Andrew Harvey in 1989 in "Forecasting, Structural time series models, and the Kalman Filter" has also shown on these factors are the unobserved signal components extracted from the data generating process.
These are some of the articles on the subject.
Regards,
Bob Yaffee
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: kokootchke <[email protected]>
Date: Friday, July 24, 2009 7:49 pm
Subject: st: Factor models
To: statalist <[email protected]>
> Hi everyone.
>
> I would like to know if anyone could provide some references to
> factor models (latent factor models, dynamic factor models, etc.).
>
> I am studying the effects of domestic macroeconomic variables vs.
> global economic conditions on bond spreads and I believe that I could
> use factor models to improve my analyses.
>
> I have never used these models before and have found some papers by
> Stock and Watson, Lippi et al., etc... which are useful... but I would
> like to read something a bit easier to get my feet wet, and then start
> building up from there.
>
> Thank you very much!
>
> Best regards,
> Adrian
>
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