Factor Extraction in Dynamic Factor Models
Ruiz, Esther / Poncela, Pilar
Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components surveys the literature on factor extraction in the context of Dynamic Factor Models (DFMs) fitted to multivariate systems of economic and financial variables. Many of the most popular factor extraction procedures often used in empirical applications are based on either Principal Components (PC) or Kalman filter and smoothing (KFS) techniques. First, the autho...