[gov3009-l] James Stock on ‘Forecasting in Dynamic Factor Models’

Justin Grimmer jgrimmer at fas.harvard.edu
Mon Oct 22 20:47:27 EDT 2007


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
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