Advances in Econometrics, Volume 35: Dynamic Factor Models

DOI 10.1108/S0731-9053201635 Publication date 2016-01-06 Series copyright holder: Emerald Publishing Limited ISBN 978-1-78560-353-2 eISBN 978-1-78560-352-5 Book series ISSN 0731-9053

• Editorial Introduction
• Dynamic Factor Models: A Brief Retrospective, James H. Stock and Mark W. Watson

Part I: Methodology

• An Overview of the Factor-augmented Error-Correction Model, Anindya Banerjee, Massimiliano Marcellino, Igor Masten.
• Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case, Lukas Koelbl, Alexander Braumann, Elisabeth Felsenstein, Manfred Deistler.
• Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?, Jens H. E. Christensen, Glenn D. Rudebusch.
• Dynamic Factor Models for the Volatility Surface, Michel van der Wel, Sait R. Ozturk, Dick van Dijk.

Part II: Factor Structure and Specification

• Analyzing International Business and Financial Cycles using Multi-Level Factor Models: A Comparison of Alternative Approaches, Jörg Breitung, Sandra Eickmeier.
• Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation, Gabriele Fiorentini, Alessandro Galesi, Enrique Sentana.
• Country Shocks, Monetary Policy Expectations and ECB Decisions. A Dynamic Non-linear Approach, Maximo Camacho, Danilo Leiva-Leon, Gabriel Perez-Quiros.
• Modelling Financial Markets Comovements during Crises: A Dynamic Multi-Factor Approach, Martin Belvisi, Riccardo Pianeti, Giovanni Urga.
• Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement, Laura E. Jackson, M. Ayhan Kose, Christopher Otrok, Michael T. Owyang.
• Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment, Pilar Poncela, Esther Ruiz.

Part III: Instability

• Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation, Laurent Callot, Johannes Tang Kristensen.
• Dating Business Cycle Turning Points for the French Economy: An MS-DFM Approach, Catherine Doz, Anna Petronevich.
• Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation, Davide Delle Monache, Ivan Petrella, Fabrizio Venditti.

Part IV: Nowcasting and Forecasting

• Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models, Antonello D'Agostino, Domenico Giannone, Michele Lenza, Michele Modugno.
• On the Selection of Common Factors for Macroeconomic Forecasting, Tommaso Proietti.
• On the Design of Data Sets for Forecasting with Dynamic Factor Models, Gerhard Rünstler..