Consistent Factor Estimation in Dynamic Factor Models with Structural Instability     Factor Estimation  Dynamic Factor Models  Structural Instability       font style='font-size:12px;'> 2014/3/18

This paper considers the estimation of approximate dynamic factor models when there is temporal instability in the factor loadings. We characterize the type and magnitude of instabilities under which ...

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A dynamic factor model framework for forecast combination     Combination forecasts  principal component regression  James-Stein estimation       font style='font-size:12px;'> 2014/3/18

A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting,...

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ALTERNATIVE ALGORITHMS FOR THE ESTIMATION OF DYNAMIC FACTOR, MIMIC AND VARYING COEFFICIENT REGRESSION MODELS     Alternative AlgorithmsEstimation of Dynamic MIMICFactorTime Varying  Coefficient Regression Models       font style='font-size:12px;'> 2014/3/18

This paper provides a general approach to the formulation and estimation of dynamic unobserved component models. After introducing the general model, two methods for estimating ...

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