International Monetary Fund

Data-Rich DSGE and Dynamic Factor Models

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in ...
International Monetary Fund

Regime-Switching Factor Models and Nowcasting with Big Data

This paper shows that the Expectation-Maximization (EM) algorithm for regime-switching dynamic factor models provides satisfactory performance relative to other estimation methods and delivers a good ...
San Francisco Fed

Monetary Policy Effectiveness in China: Evidence from a FAVAR Model

We use a broad set of Chinese economic indicators and a dynamic factor model framework to estimate Chinese economic activity and inflation as latent variables. We incorporate these latent variables ...
JSTOR Daily

Human Development Over Time: An Empirical Comparison of a Dynamic Index and the Standard HDI

This research uses panel data to explore inferences about human development associated with two different formulations of the Human Development Index (HDI). The first is the standard HDI as computed ...
Business Recorder

Against forecasts of ADB and IMF: Study suggests ‘DFM framework’ for real-time GDP tracking

ISLAMABAD: A new econometric study has proposed a dynamic factor model (DFM) framework, claiming that it provides more accurate real-time tracking of Pakistan’s annual GDP growth than forecasts being ...