Forecasting in Dynamic Factor Models Subject to Structural Instability

The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Volumn , Issue , 2009, Pages

  Stock, James H ^a,b   Watson, Mark W ^b,c  

^a HARVARD UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c PRINCETON UNIVERSITY   (United States)

Author keywords

Dynamic factor models; Factor loadings; Instability; Structural breaks; Time varying factor models

Indexed keywords

EID: 84919691183     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/acprof:oso/9780199237197.003.0007     Document Type: Chapter

References (23)

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