The Applied Statistics Workshop is proud to present James Stock, Chair of the Economics Department, as he presents, "Forecasting in Dynamic Factor Models Subject to Structural Instability". James has provided the following abstract:
Dynamic factor models (DFMs) express
the comovements of time series at leads and lags in terms of a small number of
latent factors. In macroeconomic applications, the latent factors can be
thought of as theoretical constructs (income) that are linked to specific
measurements (GDP). The large body of work on DFMs in macroeconomics
assumes a stable structure. This paper develops time-varying DFMs and
uses implications of time-varying DFMS to shed light on some ongoing macro
puzzles such as the Great Moderation and the breakdown of the backward-looking
Phillips curve.
The workshop will meet at 12-noon in room N-354, CGIS-Knafel. And a light lunch will be served.
Hope you can make it,
Justin Grimmer